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Using an international Thomson Reuters Datastream database, where size coverage is unusually wide and data errors have been reduced to a low level, we show that some specification decisions, and especially those related to size, may have a significant impact on asset-pricing test results. We...
Persistent link: https://www.econbiz.de/10011163399
Using an international Thomson Reuters Datastream database where size coverage is unusually wide and data errors have been reduced to a low level, we show that some specification decisions, and especially those related to size, may have a significant impact on asset pricing test results. We also...
Persistent link: https://www.econbiz.de/10009415885
Using an international Thompson Datastream database and standard asset pricing models we encounter pricing errors for the ten percent smallest stocks. We generalize the standard 4-factor model by adding two additional risk factors (one size- and one book-tomarket factor). This generalized...
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