Testing Competing Factor Pricing Models

Paul Soederlind ()

No 1524, Working Papers on Finance from University of St. Gallen, School of Finance

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 (search for similar items in EconPapers)
JEL-codes: C33 G10 G12 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2015-11, Revised 2016-05
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:usg:sfwpfi:2015:24

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