Testing for alpha in linear factor pricing models with a large number of securities
Year of publication: |
2024
|
---|---|
Authors: | Pesaran, M. Hashem ; Yamagata, Takashi |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 2, p. 407-460
|
Subject: | arbitrage asset pricing | CAPM | S&P 500 securities | testing for alpha | weak and spatial error cross-sectional dependence | Theorie | Theory | Kapitaleinkommen | Capital income | Statistischer Test | Statistical test | Effizienzmarkthypothese | Efficient market hypothesis | Portfolio-Management | Portfolio selection |
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