Artículo
Tests of asset pricing with time-varying factor loads
Fecha de publicación:
01/2019
Editorial:
John Wiley & Sons Ltd
Revista:
Journal of Applied Econometrics
ISSN:
0883-7252
e-ISSN:
1099-1255
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
This paper proposes an empirical asset pricing test based on the homogeneity of the factor risk premia across risky assets. Factor loadings are considered to be dynamic and estimated from data at higher frequencies. The factor risk premia are obtained as estimates from time series regressions applied to each risky asset. We propose Swamy-type tests robust to the presence of generated regressors and dependence between the pricing errors to assess the homogeneity of the factor risk premia and the zero intercept hypothesis. An application to US industry portfolios shows overwhelming evidence rejecting the capital asset pricing model, and the three and five factor models developed by Fama and French (Journal of Financial Economics, 1993, 33, 3?56; Journal of Financial Economics, 2015, 116, 1?22). In particular, we reject the null hypotheses of a zero intercept, homogeneous factor risk premia across risky assets, and the joint test involving both hypotheses.
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Articulos(IIEP)
Articulos de INST. INTER. DE ECONOMIA POLITICA DE BUENOS AIRES
Articulos de INST. INTER. DE ECONOMIA POLITICA DE BUENOS AIRES
Citación
Galvao, Antonio F.; Montes Rojas, Gabriel Victorio; Olmo, José; Tests of asset pricing with time-varying factor loads; John Wiley & Sons Ltd; Journal of Applied Econometrics; 34; 5; 1-2019; 762-778
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