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Three essays on empirical asset pricing

Zhang, Xiaoyan - 2002

Persistent link: https://www.econbiz.de/10003777584

Specification tests of international asset pricing models

Zhang, Xiaoyan - In: Journal of international money and finance 25 (2006) 2, pp. 275-307

Persistent link: https://www.econbiz.de/10003289283

Evaluating asset pricing models using the second Hansen-Jagannathan distance

Li, Haitao; Xu, Yuewu; Zhang, Xiaoyan - In: Journal of financial economics 97 (2010) 2, pp. 279-301

Persistent link: https://www.econbiz.de/10008648200

Empirical evaluation of asset pricing models : arbitrage and pricing errors in contingent claims

Wang, Zhenyu; Zhang, Xiaoyan - In: Journal of empirical finance 19 (2012) 1, pp. 65-78

Persistent link: https://www.econbiz.de/10009615830

International stock return comovements

Bekaert, Geert; Hodrick, Robert J.; Zhang, Xiaoyan - 2005

Persistent link: https://www.econbiz.de/10003273701

Empirical evaluation of asset pricing models : arbitrage and pricing errors over contingent claims

Wang, Zhenyu (contributor); Zhang, Xiaoyan (contributor) - 2006

Persistent link: https://www.econbiz.de/10003400258

Evaluating the specification errors of asset pricing models

Hodrick, Robert J.; Zhang, Xiaoyan - In: Journal of financial economics 62 (2001) 2, pp. 327-376

Persistent link: https://www.econbiz.de/10001621745

Pricing the global industry portfolios

Cavaglia, Stefano M.; Hodrick, Robert J.; Vadim, Moroz; … - 2002

Persistent link: https://www.econbiz.de/10001714926

Evaluating the specification errors of asset pricing models

Hodrick, Robert J.; Zhang, Xiaoyan - 2000

Persistent link: https://www.econbiz.de/10001470841

Evaluating the Specification Errors of Asset Pricing Models

Hodrick, Robert J. - 2000

This paper examines the specification errors of several asset pricing models using the methodology of Hansen and Jagannathan (1997) and a common data set. The models are the CAPM, the Consumption CAPM, the Jagannathan and Wang (1996) conditional CAPM, the Campbell (1996) dynamic asset pricing...

Persistent link: https://www.econbiz.de/10012471106