کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5089610 | 1375598 | 2012 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors](/preview/png/5089610.png)
چکیده انگلیسی
We show that in the presence of non-zero pricing errors, the Fama-MacBeth (FM) cross-sectional regression test is very likely to either reject the Capital Asset Pricing Model (CAPM) when it (almost) holds or accept the model when it grossly fails. We investigate the case when pricing errors are correlated with betas and demonstrate that the test performance depends crucially on the correlation, cross-sectional distribution of betas, and several other parameter values. Even when the CAPM holds exactly (pricing errors are zero) the FM test is equally likely to either reject or accept the model when typical sample sizes are used.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 36, Issue 4, April 2012, Pages 1057-1066
Journal: Journal of Banking & Finance - Volume 36, Issue 4, April 2012, Pages 1057-1066
نویسندگان
Irina Murtazashvili, Nadia Vozlyublennaia,