This paper discusses the two different contradicting philosophies for testing models in financial economics (asset pricing, corporate finance, and market-microstructure) using linear regression. We synthesize these two contradicting approaches, document the errors that may occur in the existing estimation methodologies, and suggest a modified procedure that avoids these errors. Copyright (c) 2010, The Eastern Finance Association.
Includes bibliographical references (leaves [21-25])."This study presents some empirical tests of th...
This paper studies some seemingly anomalous results that arise in possibly misspecified and uniden-t...
Empirical testing in corporate finance often proceeds from qualitative theory to hypothesis tests by...
This paper addresses the problem of testing financial models in the presence of market microstructur...
A variety of fmancial models are cast as nonlinear parameter restrictions on multivariate regression...
This paper shows that in misspecified models with risk factors that are uncorrelated with the test a...
The dissertation consists of two essays on several topics in econometrics and financial economics. C...
We propose a new statistic, the average F statistic, for testing linear asset pricing models. The av...
An important but still partially unanswered question in the investment field is why different assets...
There is a considerable literature in econometrics on varying coefficient regression models. Some of...
We propose a new method of testing asset pricing models that relies on quantities rather than just p...
Testing the two-parameter asset pricing theory is difficult (and currently infeasible). Due to a mat...
The importance of experimental economics and econometric methods increases with each passing day as ...
This rigorous textbook introduces graduate students to the principles of econometrics and statistics...
Many recent papers have estimated components of the disturbance term in the "market model" of equity...
Includes bibliographical references (leaves [21-25])."This study presents some empirical tests of th...
This paper studies some seemingly anomalous results that arise in possibly misspecified and uniden-t...
Empirical testing in corporate finance often proceeds from qualitative theory to hypothesis tests by...
This paper addresses the problem of testing financial models in the presence of market microstructur...
A variety of fmancial models are cast as nonlinear parameter restrictions on multivariate regression...
This paper shows that in misspecified models with risk factors that are uncorrelated with the test a...
The dissertation consists of two essays on several topics in econometrics and financial economics. C...
We propose a new statistic, the average F statistic, for testing linear asset pricing models. The av...
An important but still partially unanswered question in the investment field is why different assets...
There is a considerable literature in econometrics on varying coefficient regression models. Some of...
We propose a new method of testing asset pricing models that relies on quantities rather than just p...
Testing the two-parameter asset pricing theory is difficult (and currently infeasible). Due to a mat...
The importance of experimental economics and econometric methods increases with each passing day as ...
This rigorous textbook introduces graduate students to the principles of econometrics and statistics...
Many recent papers have estimated components of the disturbance term in the "market model" of equity...
Includes bibliographical references (leaves [21-25])."This study presents some empirical tests of th...
This paper studies some seemingly anomalous results that arise in possibly misspecified and uniden-t...
Empirical testing in corporate finance often proceeds from qualitative theory to hypothesis tests by...
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