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 functional form to capture...
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Main Authors: | JIN, Sainan, SU, Liangjun, ZHANG, Yonghui |
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Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2015
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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 |
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Institution: | Singapore Management University |
Language: | English |
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