Testing Competing Factor Pricing Models

Auteur(s)

Paul Söderlind

Accéder

Descrizione

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.

Sujets

Sciences economiques > Monnaie et marchés financiers

Institution partenaire

Université de St-Gall - Schools of Management

Langue

English

Data

2015