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dc.contributor.authorLin, Haizh_CN
dc.contributor.author林海zh_CN
dc.date.accessioned2015-07-22T02:06:24Z
dc.date.available2015-07-22T02:06:24Z
dc.date.issued2008zh_CN
dc.identifier.citationInnovative Techniques in Instruction Technology, E-learning, E-assessment and Education, 2008:171-174zh_CN
dc.identifier.otherWOS:000262481600030zh_CN
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/85606
dc.descriptionConference Name:International Conference on Engineering Education, Instructional Technology, Assessment, and E-learning. Conference Address: Bridgeport, CT. Time:31-五月-07.zh_CN
dc.description.abstractThis paper address the impact of estimation bias on the use of traditional statistical tests in testing time series asset pricing models. Since we have no ideas about the true risk factors but only use some linear portfolios as their mimicking, these representatives themselves include noise term that will affect the estimation and result in the estimation biases. Due to the fact that traditional statistical tests have no power to check whether the significant correlation comes front useful risk information or useless noise information, they are not robust as the benchmarks for evaluating different asset pricing models. These results are shown in simulations.zh_CN
dc.language.isoen_USzh_CN
dc.publisherSPRINGERzh_CN
dc.source.urihttp://dx.doi.org/10.1007/978-1-4020-8739-4_30zh_CN
dc.subjectSTOCK-MARKETzh_CN
dc.subjectRISKzh_CN
dc.subjectRETURNSzh_CN
dc.subjectPORTFOLIOSzh_CN
dc.subjectEQUILIBRIUMzh_CN
dc.subjectSELECTIONzh_CN
dc.subjectPRICESzh_CN
dc.subjectSIZEzh_CN
dc.titleCritique of Traditional Statistical Tests in Asset Pricing Modelszh_CN
dc.typeConferencezh_CN


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