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The influence of differences in accounting standards on empirical pricing models: An application to the Fama–French model

✍ Scribed by Javier Gomez Biscarri; German Lopez Espinosa

Book ID
113810623
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
202 KB
Volume
18
Category
Article
ISSN
1042-444X

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## Abstract This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and Vogelsang in 2005 and by Phillips, Sun and Jin in 2003 and 2006. The illustrations use the 1993 Fama–French t