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Testing Competing Factor Pricing Models

Listed author(s):
  • Soederlind, Paul

    ()

A GMM-based system for two different linear factor pricing models is used to test if the pricing errors are the same. Simulations demonstrate the small sample properties. As an illustration, the test is applied to the Fama-French (1996, 2015) models.

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File URL: http://ux-tauri.unisg.ch/RePEc/usg/sfwpfi/WPF-1524.pdf
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Paper provided by University of St. Gallen, School of Finance in its series Working Papers on Finance with number 1524.

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Length: 13 pages
Date of creation: Nov 2015
Date of revision: May 2016
Handle: RePEc:usg:sfwpfi:2015:24
Contact details of provider: Phone: +41 71 243 40 11
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Web page: http://www.unisg.ch/de/universitaet/schools/finance

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  1. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
  2. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
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