High-dimensional test for alpha in linear factor pricing models with sparse alternatives
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2021.07.011
Abstract: Abstract We consider the problem of testing for the presence of alpha in Linear Factor Pricing Models. We propose a novel test of the max-of-squares type, which is designed to deal with the high dimensionality… read more here.
Keywords: factor pricing; alpha linear; test; linear factor ... See more keywords
Evaluating the Performance of Factor Pricing Models for Different Stock Market Trends: Evidence from China
Sign Up to like & getrecommendations! Published in 2021 at "Emerging Markets Finance and Trade"
DOI: 10.1080/1540496x.2021.1964949
Abstract: This paper examines the performance of three nested factor pricing models for different market trends, such as bull, bear or consolidation, in China’s stock market. Specifically, the models we consider are the Capital Asset Pricing… read more here.
Keywords: pricing models; factor pricing; market; pricing ... See more keywords