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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …

Persistent link: https://www.econbiz.de/10011431982

Testing for Return Predictability with Co-Moving Predictors of Unknown Form

Xu, Ke-Li - 2018

Testing for constant expected returns and forecasting future returns necessitate the information beyond a single predictor. We consider the predictive regression model with multiple predictors which are potentially strongly persistent and cointegrated. Instrumental variables based tests for...

Persistent link: https://www.econbiz.de/10012919518

Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects

Gungor, Sermin; Luger, Richard - 2017

We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock...

Persistent link: https://www.econbiz.de/10011618038

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

GMM Weighting Matrices In Cross-Sectional Asset Pricing Tests

Laurinaityte, Nora; Meinerding, Christoph; Schlag, Christian - 2021

Persistent link: https://www.econbiz.de/10013249850

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

Beaulieu, Marie-Claude - 2016

Persistent link: https://www.econbiz.de/10012991257

Characteristic-sorted portfolios : estimation and inference

Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

Persistent link: https://www.econbiz.de/10011523775

Global variance term premia and intermediary risk appetite

Van Tassel, Peter; Vogt, Erik - 2016

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Persistent link: https://www.econbiz.de/10011523781

Real Risk or Paper Risk? Mis-Measured Factors, Granular Measurement Errors, and Empirical Asset Pricing Tests

Byun, Sung Je - 2020

risk for the market portfolio is consistent with theory. The granular residual is volatile and less informative about real …

Persistent link: https://www.econbiz.de/10012849714

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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