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Evaluating the importance of missing risk factors using the optimal orthogonal portfolio approach

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  • Asgharian, Hossein
  • Hansson, Bjorn

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File URL: http://www.sciencedirect.com/science/article/B6VFG-4GYH7M5-2/2/2fa946204a11ded2f3916d5972841d06
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 12 (2005)
Issue (Month): 4 (September)
Pages: 556-575

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Handle: RePEc:eee:empfin:v:12:y:2005:i:4:p:556-575

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Web page: http://www.elsevier.com/locate/jempfin

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References

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  1. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
  2. Goffe, William L. & Ferrier, Gary D. & Rogers, John, 1994. "Global optimization of statistical functions with simulated annealing," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 65-99.
  3. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
  4. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
  5. MacKinlay, A Craig & Pastor, Lubos, 2000. "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Review of Financial Studies, Society for Financial Studies, vol. 13(4), pages 883-916.
  6. Lehmann, Bruce N. & Modest, David M., 1988. "The empirical foundations of the arbitrage pricing theory," Journal of Financial Economics, Elsevier, vol. 21(2), pages 213-254, September.
  7. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
  8. Roll, Richard, 1980. "Orthogonal Portfolios," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(05), pages 1005-1023, December.
  9. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
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Cited by:
  1. Asgharian, Hossein, 2011. "A conditional asset-pricing model with the optimal orthogonal portfolio," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1027-1040, May.

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