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Monte Carlo calculation of the small sample reactivity effect

โœ Scribed by Eberhard Seifert


Publisher
Elsevier Science
Year
1990
Tongue
English
Weight
427 KB
Volume
24
Category
Article
ISSN
0149-1970

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The small sample properties of tests of
โœ Eugenie Garganas; Stephen G. Hall ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 372 KB

In this paper, we extend results from the finance literature that explores small sample bias, due to persistent variables, in tests of present value asset pricing models. Using a Monte Carlo simulation approach, we investigate the finite sample behaviour of standard tests of the expectations hypothe