Specification errors of asset-pricing models for a market characterized by few large capitalization firms
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DOI: 10.1007/s12197-014-9297-z
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More about this item
Keywords
Specification errors; Unconditional CAPM; Scaling variables; SDF; Hansen and Jagannathan (1997) distance; Macro variables; G11; G12; G15;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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