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Assessing Specification Errors in Stochastic Discount Factor Models
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- Glabadanidis, Paskalis, 2009. "Measuring the economic significance of mean-variance spanning," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 596-616, May.
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"Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators,"
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"Chi-squared tests for evaluation and comparison of asset pricing models,"
Journal of Econometrics, Elsevier, vol. 173(1), pages 108-125.
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- Victoria Galsband, 2010. "The cross-section of equity returns and assets’ fundamental cash-flow risk," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(4), pages 327-351, December.
- Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2019.
"Too good to be true? Fallacies in evaluating risk factor models,"
Journal of Financial Economics, Elsevier, vol. 132(2), pages 451-471.
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"Overidentification in Regular Models,"
Econometrica, Econometric Society, vol. 86(5), pages 1771-1817, September.
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International Review of Economics & Finance, Elsevier, vol. 71(C), pages 853-879.
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Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
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Journal of Economic Perspectives, American Economic Association, vol. 29(4), pages 61-88, Fall.
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"A skeptical appraisal of asset pricing tests,"
Journal of Financial Economics, Elsevier, vol. 96(2), pages 175-194, May.
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Journal of Econometrics, Elsevier, vol. 170(2), pages 538-550.
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"Pricing ethics in the foreign exchange market: Environmental, Social and Governance ratings and currency premia,"
Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 66-77.
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Journal of Financial Economics, Elsevier, vol. 110(1), pages 110-138.
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"Size matters, if you control your junk,"
Journal of Financial Economics, Elsevier, vol. 129(3), pages 479-509.
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NBER Chapters, in: NBER Macroeconomics Annual 1992, Volume 7, pages 115-182,
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"Carry,"
Journal of Financial Economics, Elsevier, vol. 127(2), pages 197-225.
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The Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 442-504.
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"Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models,"
Econometric Reviews, Taylor & Francis Journals, vol. 37(7), pages 695-718, August.
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Journal of Mathematical Economics, Elsevier, vol. 44(1), pages 1-14, January.
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"Asset Pricing Implications of Pareto Optimality with Private Information,"
Journal of Political Economy, University of Chicago Press, vol. 117(3), pages 555-590, June.
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- repec:bla:ecorec:v:91:y:2015:i::p:1-24 is not listed on IDEAS