Matches in SemOpenAlex for { <https://semopenalex.org/work/W4288045961> ?p ?o ?g. }
- W4288045961 endingPage "106626" @default.
- W4288045961 startingPage "106626" @default.
- W4288045961 abstract "The standard full-sample time-series asset pricing test suffers from poor statistical properties, look-ahead bias, constant-beta assumptions, and rejects models when average factor returns deviate from risk premia. We therefore confront prominent equity pricing models with the classical Fama and MacBeth (1973) cross-sectional test. For all models, we uncover three main findings: (i) the intercept coefficients are economically large and highly statistically significant; (ii) cross-sectional factor risk premium estimates are generally far below the average factor excess returns; and (iii) they are usually not statistically significant. Overall, all new factor models are inconsistent with no-arbitrage pricing and cannot accurately explain the cross-section of stock returns." @default.
- W4288045961 created "2022-07-27" @default.
- W4288045961 creator A5049682960 @default.
- W4288045961 creator A5078989009 @default.
- W4288045961 date "2022-12-01" @default.
- W4288045961 modified "2023-09-27" @default.
- W4288045961 title "Testing Factor Models in the Cross-Section" @default.
- W4288045961 cites W1536779358 @default.
- W4288045961 cites W1973342504 @default.
- W4288045961 cites W1984272629 @default.
- W4288045961 cites W1995834279 @default.
- W4288045961 cites W2010681793 @default.
- W4288045961 cites W2011043606 @default.
- W4288045961 cites W2043619364 @default.
- W4288045961 cites W2047134779 @default.
- W4288045961 cites W2057430025 @default.
- W4288045961 cites W2066356210 @default.
- W4288045961 cites W2072980348 @default.
- W4288045961 cites W2073465757 @default.
- W4288045961 cites W2103896302 @default.
- W4288045961 cites W2104795328 @default.
- W4288045961 cites W2108818539 @default.
- W4288045961 cites W2111730646 @default.
- W4288045961 cites W2117178635 @default.
- W4288045961 cites W2142152317 @default.
- W4288045961 cites W2149990348 @default.
- W4288045961 cites W2154052691 @default.
- W4288045961 cites W2157638220 @default.
- W4288045961 cites W2162976621 @default.
- W4288045961 cites W2166215547 @default.
- W4288045961 cites W2170415678 @default.
- W4288045961 cites W2318818482 @default.
- W4288045961 cites W2320868325 @default.
- W4288045961 cites W2328867954 @default.
- W4288045961 cites W2334058874 @default.
- W4288045961 cites W2594842818 @default.
- W4288045961 cites W2722612024 @default.
- W4288045961 cites W2768713005 @default.
- W4288045961 cites W2795848635 @default.
- W4288045961 cites W2890278159 @default.
- W4288045961 cites W2890406305 @default.
- W4288045961 cites W2980847278 @default.
- W4288045961 cites W2981260521 @default.
- W4288045961 cites W3021711601 @default.
- W4288045961 cites W3034558682 @default.
- W4288045961 cites W3036180971 @default.
- W4288045961 cites W3121401171 @default.
- W4288045961 cites W3121508937 @default.
- W4288045961 cites W3122118888 @default.
- W4288045961 cites W3122598467 @default.
- W4288045961 cites W3123066889 @default.
- W4288045961 cites W3123178375 @default.
- W4288045961 cites W3123371568 @default.
- W4288045961 cites W3123639445 @default.
- W4288045961 cites W3123957507 @default.
- W4288045961 cites W3123993840 @default.
- W4288045961 cites W3124257267 @default.
- W4288045961 cites W3124275992 @default.
- W4288045961 cites W3124492184 @default.
- W4288045961 cites W3124646784 @default.
- W4288045961 cites W3124790942 @default.
- W4288045961 cites W3124842158 @default.
- W4288045961 cites W3125206904 @default.
- W4288045961 cites W3125452688 @default.
- W4288045961 cites W3131102529 @default.
- W4288045961 cites W3147257233 @default.
- W4288045961 cites W4210260491 @default.
- W4288045961 cites W4211100651 @default.
- W4288045961 cites W4214633816 @default.
- W4288045961 cites W4230576380 @default.
- W4288045961 cites W4237239309 @default.
- W4288045961 cites W4242880768 @default.
- W4288045961 cites W4243760387 @default.
- W4288045961 cites W4250762315 @default.
- W4288045961 cites W4254814954 @default.
- W4288045961 cites W4285208064 @default.
- W4288045961 cites W4376849504 @default.
- W4288045961 doi "https://doi.org/10.1016/j.jbankfin.2022.106626" @default.
- W4288045961 hasPublicationYear "2022" @default.
- W4288045961 type Work @default.
- W4288045961 citedByCount "0" @default.
- W4288045961 crossrefType "journal-article" @default.
- W4288045961 hasAuthorship W4288045961A5049682960 @default.
- W4288045961 hasAuthorship W4288045961A5078989009 @default.
- W4288045961 hasConcept C111919701 @default.
- W4288045961 hasConcept C121332964 @default.
- W4288045961 hasConcept C162324750 @default.
- W4288045961 hasConcept C199360897 @default.
- W4288045961 hasConcept C2780129039 @default.
- W4288045961 hasConcept C2781039887 @default.
- W4288045961 hasConcept C41008148 @default.
- W4288045961 hasConcept C52234038 @default.
- W4288045961 hasConcept C62520636 @default.
- W4288045961 hasConceptScore W4288045961C111919701 @default.
- W4288045961 hasConceptScore W4288045961C121332964 @default.
- W4288045961 hasConceptScore W4288045961C162324750 @default.
- W4288045961 hasConceptScore W4288045961C199360897 @default.
- W4288045961 hasConceptScore W4288045961C2780129039 @default.