Testing Competing Factor Pricing Models

Item Type Monograph (Working Paper)
Abstract

A GMM-based system for two different linear factor pricing models is used to test if the pricing errors are the same. Simulations demonstrate the small sample properties. As an illustration, the test is applied to the Fama-French (1996, 2015) models.

Authors Söderlind, Paul
Language English
Subjects business studies
finance
HSG Classification contribution to scientific community
Refereed No
Date 2015
Publisher SoF - HSG
Place of Publication St. Gallen
Series Name School of Finance Working Paper Series
Number 2015/24
Number of Pages 13
Official URL http://papers.ssrn.com/sol3/papers.cfm?abstract_id...
Contact Email Address paul.soederlind@unisg.ch
Depositing User Prof. PhD. Paul Söderlind
Date Deposited 01 Dec 2015 08:55
Last Modified 23 Aug 2016 11:22
URI: https://www.alexandria.unisg.ch/publications/245766

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Citation

Söderlind, Paul: Testing Competing Factor Pricing Models. School of Finance Working Paper Series, 2015, 2015/24.

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https://www.alexandria.unisg.ch/id/eprint/245766
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