Robustness: Asset Pricing Tests - Non-linearity
Robustness of power properties of non linearity tests
... of tests exhibit a power for rather different types of non-linear time series models, and since the properties of the tests are homogenous in each group, a reasonable testing strategy seems to be to ...
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Robustness of power properties of non-linearity tests
... Q tests, works also for infinite variance processes as ...for non-linear time series models with an infinite ...some non-linear models ...all non-linear time series models in ...some ...
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Linearity of the Sharpe-lintner Version of the Capital Asset Pricing Model
... Many researchers would go into inventing statistical tests or into using some conventional ones in responding to this task. Nonetheless, this would be at risk of mistaking some particular distribution for ξ it and ...
12
Asset Pricing Theories, Models, and Tests
... and non-standard sampling distributions also tend to arise in long-horizon predictive regressions where the regressors and/or the returns are accumulated over time periods so that two or more consecutive ...
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The Capital Asset Pricing Model: Some Empirical Tests
... the linearity observed in Figures 1 through 5 was in some way due to the averaging involved in the long periods presented there, we replicated those plots for our ten portfolios for 17 separate two-year periods ...
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Essays On Asset Pricing Models: Theories And Empirical Tests
... their non-overlapping window ...average pricing error can differ by as much as 1%! More importantly, different window estimates can also lead to different ...
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Advances in Consumption-Based Asset Pricing: Empirical Tests
... GMM asset pricing application based on Hansen and Singleton (1982), and lays out the basis for using non-optimal weighting in GMM and related method of moments ...tiple, non-nested ...
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Expected Returns, Yield Spreads, and Asset Pricing Tests
... include non-matrix prices because they represent true market ...and non-callable bond prices in an effort to retain as many bonds as possible, but our conclusions also hold when only non-callable ...
41
Asset Pricing Tests with Long Run Risks in Consumption Growth
... A novel methodology in testing the long-run risks model of Bansal and Yaron (2004) is presented based on the observation that, under the null, the potentially latent state variables, "long-run risk" and the ...
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Chi-squared tests for evaluation and comparison of asset pricing models
... plier tests for individual and joint testing of correct specification of one or more asset pricing ...specification tests are asymptotically chi-squared distributed and enjoy improved finite- ...
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Multivariate tests of asset pricing: Simulation evidence from an emerging market
... to these distributional characteristics. Greene (2003, p-110) points out that amongst the three asymptotic tests namely the Wald, LR and LM, only the Wald test is asymptotically valid under non-normality. ...
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Portmanteau tests for linearity of stationary time series
... portmanteau tests for linearity are applied to a set of weekly stock re- turns, spanning the period 1993–2007 (781 observations), for 100 companies from the Standard & Poor’s 500 Composite ...in ...
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Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets
... empirical tests have been performed which implicitly assume the mean- variance based preference of the ...the asset pricing theory which is based on recognizing risk as the deviation below a critical ...
37
Conditional Beta Capital Asset Pricing Model (CAPM) and Duration Dependence Tests
... 2. Data and Methodology We adopt the Duration dependence test using the Log Logistic Hazard Model and Weibull Hazard Model that are more widely accepted (Fung 2001; Harman and Zuehlke 2004), because of their ...
11
The Impact of the Financial Sector on Asset Pricing Tests: Evidence from the Colombo Stock Exchange
... The study finds that the inclusion of the financial sector does not alter the conclusions arrived at when the financial sector was excluded. Clear size, value and momentum patterns were seen when observing the loadings ...
12
Noncausality and Asset Pricing
... Table 1 further shows some diagnostic test results. After selecting the number of lags p based on a Gaussian causal AR, Gaussianity of the residuals is tested. Gaussianity is rejected by a Jarque-Bera test for all ARs, ...
18
On the robustness of consumption-based asset pricing
... allows pricing assets solely by the contribution of their cash flows to aggregate consumption ...of asset pricing models based on the stochastic discount factor approach are able to replicate various ...
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A Skeptical Appraisal of Asset-Pricing Tests
... for tests with size-B/M portfolios, for which OLS R 2 s (point estimates) are quite high, and is consistent with our view that q provides a more rigorous hurdle than the OLS R 2 ...
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A Mean-Variance Framework for Tests of Asset Pricing Models
... linear pricing relations and mean- variance efficiency is well understood at a theoretical level, links between tests of the pricing models and a mean-variance framework are limited to a few special ...
32
Linearity tests of a multibeam echosounder
... After shifting the beam formed response data en bloc to compensate for the unknown beam forming gain and target strength, the shape of the response curves closely matches that of the e[r] ...
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