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Spurious inference in unidentified asset-pricing models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2014

This paper studies some seemingly anomalous results that arise in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments (GMM). Strikingly, when useless factors (that is, factors that are independent of the...

Persistent link: https://www.econbiz.de/10010395978

Generalized aggregation of misspecified models : with an application to asset pricing

Gospodinov, Nikolaj; Maasoumi, Esfandiar - In: Journal of econometrics 222 (2021) 1,2, pp. 451-467

Persistent link: https://www.econbiz.de/10012619705

Does the conditional CAPM work? : evidence from the Istanbul Stock Exchange

Yalçın, Atakan; Erşahin, Nuri - In: Emerging markets finance & trade : a journal of the … 47 (2011) 4, pp. 28-48

Persistent link: https://www.econbiz.de/10009316932

A diagnostic criterion for approximate factor structure

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Journal of econometrics 212 (2019) 2, pp. 503-521

Persistent link: https://www.econbiz.de/10012304081

Macro-finance decoupling : robust evaluations of macro asset pricing Models

Cheng, Xu; Dou, Winston Wei; Liao, Zhipeng - 2020

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Time-varying risk premium in large cross-sectional equity data sets

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 3, pp. 985-1046

Persistent link: https://www.econbiz.de/10011579614

On the computation of detection error probabilities under normality assumptions

Okubo, Masakatsu - In: Economics letters 171 (2018), pp. 106-109

Persistent link: https://www.econbiz.de/10012021850

Weighing asset pricing factors : a least squares model averaging approach

Qiu, Yue; Ren, Yu; Xie, Tian - In: Quantitative finance 19 (2019) 10, pp. 1673-1687

Persistent link: https://www.econbiz.de/10012194816

Too good to be true? Fallacies in evaluating risk factor models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Journal of financial economics 132 (2019) 2, pp. 451-471

Persistent link: https://www.econbiz.de/10012136929

Spurious inference in reduced-rank asset-pricing models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 5, pp. 1613-1628

Persistent link: https://www.econbiz.de/10011791596

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