Emprical Validity of Asset pricing models in Iran's Stock Market: Application of Optimal Significance Level and Equal Probability Test

One of the most usage of evaluating Empirical Validity of Asset-pricing Models is GRS test. In this paper we implement the GRS test for CAPM and Fama-French 3-factor asset pricing models with explicit consideration of statistical power, by employing the optimal significance level and equal-probabili...

תיאור מלא

מידע ביבליוגרפי

Principais autores:	Reza Talebloo, Parisa Mohajeri, Hosein Talakesh Nayini
פורמט:	Artigo
שפה:	Persa
יצא לאור:	Semnan University 2018-02-01
סדרה:	مدلسازی اقتصادسنجی
נושאים:	asset pricing models equal-probability test grs test optimal significance level power analysis
גישה מקוונת:	https://jem.semnan.ac.ir/article_3521_6d160581a06f76e81006ecdbb8fc2654.pdf
תגים:	הוספת תג אין תגיות, היה/י הראשונ/ה לתייג את הרשומה!