Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models
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...
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Main Authors: | , , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2014
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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 |
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Institution: | Singapore Management University |
Language: | English |
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