Arbeitspapier
Testing linear factor pricing models with large cross-sections: A distribution-free approach
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns. The power of the proposed test procedure increases as the time-series lengthens and/or the cross-section becomes larger. This stands in sharp contrast to the usual tests that lose power or may not even be computable if the cross-section is too large. Finally, we revisit the CAPM and the Fama-French three factor model. Our results strongly support the mean-variance efficiency of the market portfolio.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Working Paper ; No. 2010-36
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Econometric and statistical methods
Financial markets
Finanzmarkt
Portfolio-Management
Capital Asset Pricing Model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gungor, Sermin
Luger, Richard
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2010
- DOI
-
doi:10.34989/swp-2010-36
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
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Objekttyp
- Arbeitspapier
Beteiligte
- Gungor, Sermin
- Luger, Richard
- Bank of Canada
Entstanden
- 2010
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