A Panel Data Approach to Testing Anomaly Effects in Factor Pricing Models
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- Serlenga, Laura & Yongcheol Shin & Andy Snell, 2002. "A Panel Data Approach to testing Anomaly Effects in Factor Pricing Models," Royal Economic Society Annual Conference 2002 165, Royal Economic Society.
References listed on IDEAS
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- Sainan Jin & Liangjun Su & Yonghui Zhang, 2015.
"Nonparametric testing for anomaly effects in empirical asset pricing models,"
Springer, vol. 48(1), pages 9-36, February.
- Sainan Jin & Liangjun Su & Yonghui Zhang, 2014. "Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models," Working Papers 09-2014, Singapore Management University, School of Economics.
More about this item
Keywordsexcess returns; factor pricing models; anomaly effects; partially heterogeneous panels; pooled ML estimation;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-14 (All new papers)
- NEP-CFN-2004-03-14 (Corporate Finance)
- NEP-ECM-2004-03-14 (Econometrics)
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