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Testing competing factor pricing models
Söderlind, Paul - 2016 - This version: May 2016
A GMM-based system for two different linear factor pricing models is used to test if the pricing errors are the same. Simulations demonstrate the small sample properties. As an illustration, the test is applied to the Fama-French (1996, 2015) models.
Persistent link: https://www.econbiz.de/10011686300
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C-CAPM and the cross-section of Sharpe ratios
Söderlind, Paul - 2003
Persistent link: https://www.econbiz.de/10001828714
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Asset pricing in macroeconomic models
Söderlind, Paul - In: Dynamic macroeconomic analysis : theory and policy in …, (pp. 406-450). 2003
Persistent link: https://www.econbiz.de/10001841417
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Why disagreement may not matter (much) for asset prices
Söderlind, Paul - 2008
Persistent link: https://www.econbiz.de/10003773414
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An extended Stein's lemma for asset pricing
Söderlind, Paul - In: Applied economics letters 16 (2009) 10/12, pp. 1005-1008
Persistent link: https://www.econbiz.de/10003886605
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Why disagreement may not matter (much) for asset prices
Söderlind, Paul - 2008
Persistent link: https://www.econbiz.de/10003903354
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The C-CAPM without ex post data
Söderlind, Paul - In: Journal of macroeconomics 31 (2009) 4, pp. 721-729
Persistent link: https://www.econbiz.de/10003924185
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C-CAPM without ex post data
Söderlind, Paul (contributor) - 2006
Persistent link: https://www.econbiz.de/10003376069
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C-CAPM refinements and the cross-section of returns
Söderlind, Paul - 2006
Persistent link: https://www.econbiz.de/10003302884
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C-CAPM refinements and the cross-section of returns
Söderlind, Paul - In: Financial markets and portfolio management 20 (2006) 1, pp. 49-73
Persistent link: https://www.econbiz.de/10003392288