✦ LIBER ✦

Two-Pass Tests of Asset Pricing Models with Useless Factors

✍ Scribed by Raymond Kan; Chu Zhang

Book ID: 108502832
Publisher: John Wiley and Sons
Year: 1999
Tongue: English
Weight: 196 KB
Volume: 54
Category: Article
ISSN: 0022-1082
DOI: 10.1111/0022-1082.00102

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

The performance of heteroskedasticity an

The performance of heteroskedasticity and autocorrelation robust tests: a Monte Carlo study with an application to the three-factor Fama–French asset-pricing model

✍ Surajit Ray; N. E. Savin 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 147 KB 👁 1 views

## 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

An Empirical Test of a Two-Factor Mortga

An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?

✍ Chris Downing; Richard Stanton; Nancy Wallace 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 191 KB