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: 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
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