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Nonparametric testing for anomaly effects in empirical asset pricing models

Jin, Sainan; Su, Liangjun; Zhang, Yonghui - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 9-36

Persistent link: https://www.econbiz.de/10011285985

Some exact results for an asset pricing test based on the average F distribution

Hwang, Soosung; Satchell, Stephen - In: Theoretical economics letters 2 (2012) 5, pp. 435-437

Persistent link: https://www.econbiz.de/10009746710

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

Identification-robust estimation and testing of the zero-beta CAPM

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924

Persistent link: https://www.econbiz.de/10010204244

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

A bootstrap test for jumps in financial economics

Hwang, Eunju; Shin, Dong-wan - In: Economics letters 125 (2014) 1, pp. 74-78

Persistent link: https://www.econbiz.de/10010504752

Empirical test of the efficiency of the UK covered warrants market : stochastic dominance and likelihood ratio test approach

Chan, Chia-ying; Peretti, Christian de; Qiao, Zhuo; … - In: Journal of empirical finance 19 (2012) 1, pp. 162-174

Persistent link: https://www.econbiz.de/10009615744

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

Beaulieu, Marie-Christine (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001947329

On the Properties of Regression Tests of Asset Return Predictability

Velasco, Carlos - 2011

This paper investigates, both in finite samples and asymptotically, statistical inference on predictive regressions where time series are generated by present value models of asset prices. We show that regression-based tests, including optimal robust tests such as Jasson and Moreira's...

Persistent link: https://www.econbiz.de/10013132892

Nonnested Procedures in Econometric Tests of Asset Pricing Theories

Elyasiani, Elyas - 2016

In this paper nonnested tests are used to contrast the performance of the capital asset pricing (CAPM) and consumption …-82 the CAPM dominates the CCAPM, during 1978-87 the results are mixed, and during 1983-92 the CCAPM dominates. The finding in … favor of the CCAPM in 1983-92 conflicts with much of the existing literature, which favors the CAPM …

Persistent link: https://www.econbiz.de/10013006317