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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

Improved inference in financial factor models

Beck, Elliot; De Nard, Gianluca; Wolf, Michael - 2023

Conditional heteroskedasticity of the error terms is a common occurrence in financial factor models, such as the CAPM …

Persistent link: https://www.econbiz.de/10014232090

Mispricing, returns and the quest for parsimony

Qiu, Wanling - In: Finance research letters 37 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012484942

A comparison of new factor models

Hou, Kewei; Xue, Chen; Zhang, Lu - 2015

Using hundreds of significant anomalies as testing portfolios, this paper compares the performance of major empirical asset pricing models. The q-factor model and a closely related five-factor model are the two best performing models among a long array of models. The q-factor model outperforms...

Persistent link: https://www.econbiz.de/10011279578

A comparison of new factor models

Hou, Kewei; Xue, Chen; Zhang, Lu - 2014

Persistent link: https://www.econbiz.de/10010442479

Testing and determining arbitrage pricing structure from regressions on macro variables

Cragg, John G.; Donald, Stephen G. - 1992

Persistent link: https://www.econbiz.de/10000135956

The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors

Murtazashvili, Irina; Vozlyublennaia, Nadia - In: Journal of banking & finance 36 (2012) 4, pp. 1057-1066

Persistent link: https://www.econbiz.de/10009557825

Nonparametric methods for estimating and testing for constant betas in asset pricing models

Esteban, María Victoria; Ferreira, Eva; … - In: Applied economics 47 (2015) 25/27, pp. 2577-2607

Persistent link: https://www.econbiz.de/10010519653

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

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