Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 이정환 | - |
dc.date.accessioned | 2022-11-10T07:34:07Z | - |
dc.date.available | 2022-11-10T07:34:07Z | - |
dc.date.issued | 2021-07 | - |
dc.identifier.citation | North American Journal of Economics and Finance, v. 57, article no. 101453, | en_US |
dc.identifier.issn | 1062-9408;1879-0860 | en_US |
dc.identifier.uri | https://www.sciencedirect.com/science/article/pii/S1062940821000802?via%3Dihub | en_US |
dc.identifier.uri | https://repository.hanyang.ac.kr/handle/20.500.11754/176633 | - |
dc.description.abstract | In the standard tests of asset pricing models, factor risk premia are estimated on a test asset span so that models are tested with degrees of freedom reduced by the number of factors. Risk premia of traded factors can be further restricted to be equal to their expected returns, but such restrictions cannot be imposed on models with nontraded factors, which may create a problem of testing without full restrictions or on unequal asset spans across models. We propose a full-rank mimicking portfolio approach by projecting nontraded factors onto a combined span of test assets and benchmark traded factors. Under the Hansen-Jagannathan distance framework, we demonstrate that full-rank mimicking portfolios can provide improved power and fair performance comparison against a benchmark model in both specification and model comparison tests. © 2021 Elsevier Inc. | en_US |
dc.language | en | en_US |
dc.publisher | Elsevier Inc. | en_US |
dc.subject | Full-rank mimicking portfoliosNontraded factorsBenchmark spanHansen-Jagannathan distance | en_US |
dc.title | Cross-sectional tests of asset pricing models with full-rank mimicking portfolios | en_US |
dc.type | Article | en_US |
dc.relation.volume | 57 | - |
dc.identifier.doi | 10.1016/j.najef.2021.101453 | en_US |
dc.relation.journal | North American Journal of Economics and Finance | - |
dc.contributor.googleauthor | Kim, Jinyong | - |
dc.contributor.googleauthor | Kim, Kun Ho | - |
dc.contributor.googleauthor | Lee, Jeong Hwan | - |
dc.sector.campus | S | - |
dc.sector.daehak | 경제금융대학 | - |
dc.sector.department | 경제금융학부 | - |
dc.identifier.pid | jeonglee | - |
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