Kolari, Liu, and Zhang (KLH) (2021) conducted out-of-sample Fama and Mac- Beth (1973) cross-sectional regression tests for
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Kolari, Liu, and Zhang (KLH) (2021) conducted out-of-sample Fama and Mac- Beth (1973) cross-sectional regression tests for the empirical ZCAPM and a number of other models, including the market model and multifactor models. What did these tests reveal about the goodness-of-fit? About the significance of estimated market prices of risk for different factors?
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Investment Valuation And Asset Pricing Models And Methods
ISBN: 9783031167836
1st Edition
Authors: James W. Kolari, Seppo Pynnönen
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