Finding Essential Variables in Empirical Asset Pricing Models



The author develops the alternative methodology in (1) cross-sectional properties of presumed (economic) factors/proxies that are considered essential for asset returns asymptotically, and (2) test statistics that can be applied to test these cross-sectional properties for empirical asset pricing models. Many model specification tests for these models have emphasized the statistical inferences on time-series properties of estimators and test statistics.


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© The Author(s) 2018

Authors and Affiliations

  1. 1.School of Business and ManagementAzusa Pacific UniversityStevenson RanchUSA

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