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Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
Cai, Zongwu; Fang, Ying; Xu, Qiuhua - 2020
Persistent link: https://www.econbiz.de/10012312745
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Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
Cai, Zongwu; Fang, Ying; Xu, Qiuhua - In: Journal of econometrics 227 (2022) 1, pp. 114-133
Persistent link: https://www.econbiz.de/10013441628
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Adaptive testing for alphas in high-dimensional factor pricing models
Xia, Qiang; Zhang, Xianyang - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 640-653
Persistent link: https://www.econbiz.de/10015053435
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A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models
Bailey, Natalia; Jiang, Dandan; Yao, Jianfeng - In: Econometric reviews 41 (2022) 5, pp. 564-582
Persistent link: https://www.econbiz.de/10013364894
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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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Conditional dynamics and the multihorizon risk-return trade-off
Chernov, Mikhail; Lochstoer, Lars A.; Lundeby, Stig R. H. - In: The review of financial studies 35 (2022) 3, pp. 1310-1347
Persistent link: https://www.econbiz.de/10012878991
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... and the cross-section of expected returns
Harvey, Campbell R.; Liu, Yan; Zhu, Heqing - 2014
Persistent link: https://www.econbiz.de/10010431329
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... and the Cross-Section of Expected Returns
Harvey, Campbell R.; Liu, Yan; Zhu, Heqing - In: The review of financial studies 29 (2016) 1, pp. 5-68
Persistent link: https://www.econbiz.de/10011447535
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…and the Cross-Section of Expected Returns
Harvey, Campbell R. - 2015
Hundreds of papers and hundreds of factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make any economic or statistical sense to use the usual significance criteria for a newly discovered factor, e.g., a t-ratio greater than 2.0....
Persistent link: https://www.econbiz.de/10013035730
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Minimum-Variance Kernels, Economic Risk Premia, and Tests of Multi-Beta Models
Balduzzi, Pierluigi - 2015
-return trade-off, consistent with the implications of the intertemporal capital asset pricing model (I-CAPM). They also find that … the MV kernel implied by the I-CAPM, while formally rejected by the data, consistently outperforms a pricing kernel based …
Persistent link: https://www.econbiz.de/10013032690