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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

U.S. Stock Returns, the Berry-Esseen Theorem, and Statistical Testing

Crack, Timothy Falcon - 2020

Neither existing theory nor prior empirical work can tell us the impact of non-normality on required sample sizes for Student-t tests of the mean in U.S. stock returns. Prior empirical work and bounds from a modified Berry-Esseen theorem do suggest, however, that the answer should vary with...

Persistent link: https://www.econbiz.de/10012829441

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative … during episodes of market inefficiencies. -- CAPM ; testing for alpha ; market efficiency ; long/short equity returns ; large …

Persistent link: https://www.econbiz.de/10009535779

Quantitative forecast model for the application of the Black-Litterman approach

Becker, Franziska; Gürtler, Marc - 2008 - This Version: 2010-11-10

The estimation of expected security returns is one of the major tasks for the practical implementation of the Markowitz portfolio optimization. Against this background, in 1992 Black and Litterman developed an approach based on (theoretically established) expected equili-brium returns which...

Persistent link: https://www.econbiz.de/10009487257

The day-of-the-week effect revisited : an alternative testing approach

Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002

This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...

Persistent link: https://www.econbiz.de/10009725480

Spanning tests for Markowitz stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2018 - Current draft: January 2018

Using properties of the cdf of a random variable defined as a saddle-type point of a real valued continuous stochastic process, we derive first-order asymptotic properties of tests for stochastic spanning w.r.t. a stochastic dominance relation. First, we define the concept of Markowitz...

Persistent link: https://www.econbiz.de/10011877232

Technical trading revisited : false discoveries, persistence tests, and transaction costs

Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version: Sept. 2009

We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows...

Persistent link: https://www.econbiz.de/10003961414

A Closer Look at Return Predictability of the US Stock Market : Evidence from a Panel Variance Ratio Test

Kim, Jae H. - 2013

This paper examines return predictability of the U.S. stock market using portfolios sorted by size, book-to-market ratio, and industry. A novel panel variance ratio test is proposed and employed to evaluate time-varying return predictability from 1964 to 2011. It is found that the stock returns...

Persistent link: https://www.econbiz.de/10013086798

Growth in Average Firm Size of U.S. Industrial Portfolios and the Cross-Section of Expected Returns

Grobys, Klaus - 2018

This paper shows that growth in average firm size in U.S. industrial portfolios predicts future growth in average firm size. Moreover, the payoffs of industrial portfolios sorted by growth in average firm size in the previous period increase linearly as we move from lowest to highest growth in...

Persistent link: https://www.econbiz.de/10012920614

Returns to Public Debt : The US Federal Budget Deficit and the Cross Section of Equity Returns

Grobys, Klaus - 2015

This paper investigates the implications of changes in the US federal budget deficit for asset pricing. A portfolio-based risk factor related to changes in the budget deficit is formulated and its cross-sectional properties are analyzed. The average spread between equities exhibiting the highest...

Persistent link: https://www.econbiz.de/10013028035

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