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...

Full description

Saved in:
Bibliographic Details
Main Authors: JIN, Sainan, SU, Liangjun, ZHANG, Yonghui
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
EIV
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
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
Be the first to leave a comment!
You must be logged in first