Testing Competing Factor Pricing Models

Series
School of Finance Working Paper Series
Type
working paper
Date Issued
2015
Author(s)
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.
Language
English
HSG Classification
contribution to scientific community
Refereed
No
Publisher
SoF - HSG
Publisher place
St. Gallen
Number
2015/24
Pages
13
Official URL
URL
Subject(s)

business studies

finance

Division(s)

s/bf - Swiss Institut...

Contact Email Address
paul.soederlind@unisg.ch
Eprints ID
245766
File(s)
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