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 2015
• 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; Economic Theory
• Online Access: https://ink.library.smu.edu.sg/soe_research/1874; https://ink.library.smu.edu.sg/context/soe_research/article/2874/viewcontent/Nonparametric_testing_Empirical_2014_pp.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 functional form to capture...