Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models
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- Sainan Jin & Liangjun Su & Yonghui Zhang, 2015. "Nonparametric testing for anomaly effects in empirical asset pricing models," Empirical Economics, Springer, vol. 48(1), pages 9-36, February.
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More about this item
Keywords
Anomaly effects; Asset pricing; CAPM; Common factors; EIV; Fama-French three-factor; Interactive fixed effects; Nonparametric panel data model; Sieve method; Specification test;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-08-25 (Econometrics)
- NEP-SEA-2014-08-25 (South East Asia)
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