Evaluation of linear asset pricing models by implied portfolio performance
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- Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan, 2011.
"Conditional beta pricing models: A nonparametric approach,"
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- Ferreira García, María Eva & Gil Bazo, Javier & Orbe Mandaluniz, Susan, 2010. "Conditional beta pricing models: A nonparametric approach," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
- Nieto, Belén & Rubio, Gonzalo, 2011. "The volatility of consumption-based stochastic discount factors and economic cycles," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2197-2216, September.
- Chou, Pin-Huang & Ho, Po-Hsin & Ko, Kuan-Cheng, 2012. "Do industries matter in explaining stock returns and asset-pricing anomalies?," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 355-370.
- Arouri, Mohamed El Hedi, 2011. "Does crude oil move stock markets in Europe? A sector investigation," Economic Modelling, Elsevier, vol. 28(4), pages 1716-1725, July.
- Grauer, Robert R. & Janmaat, Johannus A., 2010. "Cross-sectional tests of the CAPM and Fama-French three-factor model," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 457-470, February.
- Huang, Dayong & Wang, Fang, 2009. "Cash, investments and asset returns," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2301-2311, December.
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- Gu, Li & Huang, Dayong, 2010. "Sales order backlogs and momentum profits," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1564-1575, July.
- Mohrschladt, Hannes & Nolte, Sven, 2018. "A new risk factor based on equity duration," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 126-135.
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Keywords
Linear asset pricing models Model evaluation Portfolio performance;Statistics
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