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Bayesian asset pricing testing under multivariate t-distribution
Zhang, Heng; Wang, Nianling; Li, Yong; Zhan, Yiwei - In: Applied economics letters 26 (2019) 11, pp. 898-901
Persistent link: https://www.econbiz.de/10012204429
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Testing and comparing conditional risk-return relationship with a new approach in the cross-sectional framework
Messis, Petros; Alexandridis, Antonis; Zapranis, Achilleas - 2018
Persistent link: https://www.econbiz.de/10012164827
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Testing alphas in conditional time-varying factor models with high-dimensional assets
Ma, Shujie; Lan, Wei; Su, Liangjun; Tsai, Chih-Ling - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 214-227
Persistent link: https://www.econbiz.de/10012179549
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An intersection-union test for the sharpe ratio
Frahm, Gabriel - In: Risks : open access journal 6 (2018) 2, pp. 1-13
An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection–union test takes serial dependence into account and...
Persistent link: https://www.econbiz.de/10011866388
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Testing conditional factor models
Ang, Andrew; Kristensen, Dennis - In: Journal of financial economics 106 (2012) 1, pp. 132-156
Persistent link: https://www.econbiz.de/10009666667
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CAPM with fuzzy returns and hypothesis testing
Moussa, A. Mbairadjim; Kamdem, J. Sadefo; Shapiro, A. F.; … - In: Insurance / Mathematics & economics 55 (2014), pp. 40-57
Persistent link: https://www.econbiz.de/10010366209
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The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors
Murtazashvili, Irina; Vozlyublennaia, Nadia - In: Journal of banking & finance 36 (2012) 4, pp. 1057-1066
Persistent link: https://www.econbiz.de/10009557825
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Model comparison in German stock returns
O'Connell, Michael - In: Journal of economic studies 50 (2023) 6, pp. 1245-1259
Persistent link: https://www.econbiz.de/10014331803
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Investment styles and the multiple testing of cross-sectional stock return predictability
Vincent, Kendro; Hsu, Yu-Chin; Lin, Hsiou-Wei - In: Journal of financial markets 56 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10013282501
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GMM Weighting Matrices in Cross-Sectional Asset Pricing Tests
Laurinaityte, Nora - 2020
Cross-sectional asset pricing tests with GMM can generate spuriously high explanatory power for factor models when the moment conditions are specified such that they allow the estimated factor means to substantially deviate from the observed sample averages. In fact, by shifting the weights on...
Persistent link: https://www.econbiz.de/10012853431