Mostrar el registro sencillo del ítem
dc.contributor.author
Galvao, Antonio F.
dc.contributor.author
Montes Rojas, Gabriel Victorio
![Se ha confirmado la validez de este valor de autoridad por un usuario](/themes/CONICETDigital/images/authority_control/invisible.gif)
dc.contributor.author
Olmo, José
dc.date.available
2020-12-02T14:17:00Z
dc.date.issued
2019-01
dc.identifier.citation
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
dc.identifier.issn
0883-7252
dc.identifier.uri
http://hdl.handle.net/11336/119576
dc.description.abstract
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.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
John Wiley & Sons Ltd
![Se ha confirmado la validez de este valor de autoridad por un usuario](/themes/CONICETDigital/images/authority_control/invisible.gif)
dc.rights
info:eu-repo/semantics/restrictedAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.subject
ASSET PRICING
dc.subject
SLOPE HOMOGENEITY
dc.subject
TWO-PASS REGRESSION
dc.subject
STOCHASTIC DISCOUNT FACTOR
dc.subject.classification
Economía, Econometría
![Se ha confirmado la validez de este valor de autoridad por un usuario](/themes/CONICETDigital/images/authority_control/invisible.gif)
dc.subject.classification
Economía y Negocios
![Se ha confirmado la validez de este valor de autoridad por un usuario](/themes/CONICETDigital/images/authority_control/invisible.gif)
dc.subject.classification
CIENCIAS SOCIALES
![Se ha confirmado la validez de este valor de autoridad por un usuario](/themes/CONICETDigital/images/authority_control/invisible.gif)
dc.title
Tests of asset pricing with time-varying factor loads
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2020-11-18T20:07:48Z
dc.identifier.eissn
1099-1255
dc.journal.volume
34
dc.journal.number
5
dc.journal.pagination
762-778
dc.journal.pais
Estados Unidos
![Se ha confirmado la validez de este valor de autoridad por un usuario](/themes/CONICETDigital/images/authority_control/invisible.gif)
dc.description.fil
Fil: Galvao, Antonio F.. University of Arizona; Estados Unidos
dc.description.fil
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina
dc.description.fil
Fil: Olmo, José. University of Southampton; Reino Unido
dc.journal.title
Journal of Applied Econometrics
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1002/jae.2687
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.2687
Archivos asociados