Testing Competing Factor Pricing Models

14 Pages Posted: 1 Dec 2015 Last revised: 31 May 2016

Date Written: May 1, 2016

Abstract

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.

Keywords: GMM, pricing errors, Bonferroni test, bootstrap

JEL Classification: G12, C33, G10

Suggested Citation

Söderlind, Paul, Testing Competing Factor Pricing Models (May 1, 2016). University of St.Gallen, School of Finance Research Paper No. 2015/24, Available at SSRN: https://ssrn.com/abstract=2697416 or http://dx.doi.org/10.2139/ssrn.2697416

Paul Söderlind (Contact Author)

University of St. Gallen ( email )

Rosenbergstrasse 52
St. Gallen, 9000
Switzerland
+41 71 224 7064 (Phone)
+41 71 224 7088 (Fax)

HOME PAGE: http://https://sites.google.com/site/paulsoderlindecon/home

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