Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models

• Main Authors: JIN, Sainan, SU, Liangjun, ZHANG, Yonghui
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Anomaly effects; Asset pricing; CAPM; Common factors; EIV; Fama-French three-factor; Interactive fixed effects; Nonparametric panel data model; Sieve method; Specification test; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1577; https://ink.library.smu.edu.sg/context/soe_research/article/2576/viewcontent/np_test_anomaly_finance20140118.pdf
• Institution: Singapore Management University

In this paper we propose a class of nonparametric tests for anomaly effects in empirical asset pricing models in the framework of nonparametric panel data models with interactive fixed effects. Our approach has two prominent features: one is the adoption of nonparametric component to capture the ano...