dc.creatorGalvao, Antonio F.
dc.creatorMontes Rojas, Gabriel Victorio
dc.creatorOlmo, José
dc.date.accessioned2020-12-02T14:17:00Z
dc.date.accessioned2022-10-14T23:55:59Z
dc.date.available2020-12-02T14:17:00Z
dc.date.available2022-10-14T23:55:59Z
dc.date.created2020-12-02T14:17:00Z
dc.date.issued2019-01
dc.identifierGalvao, Antonio F.; Montes Rojas, Gabriel Victorio; Olmo, José; Tests of asset pricing with time-varying factor loads; John Wiley & Sons Ltd; Journal of Applied Econometrics; 34; 5; 1-2019; 762-778
dc.identifier0883-7252
dc.identifierhttp://hdl.handle.net/11336/119576
dc.identifier1099-1255
dc.identifierCONICET Digital
dc.identifierCONICET
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/4321943
dc.description.abstractThis paper proposes an empirical asset pricing test based on the homogeneity of the factor risk premia across risky assets. Factor loadings are considered to be dynamic and estimated from data at higher frequencies. The factor risk premia are obtained as estimates from time series regressions applied to each risky asset. We propose Swamy-type tests robust to the presence of generated regressors and dependence between the pricing errors to assess the homogeneity of the factor risk premia and the zero intercept hypothesis. An application to US industry portfolios shows overwhelming evidence rejecting the capital asset pricing model, and the three and five factor models developed by Fama and French (Journal of Financial Economics, 1993, 33, 3?56; Journal of Financial Economics, 2015, 116, 1?22). In particular, we reject the null hypotheses of a zero intercept, homogeneous factor risk premia across risky assets, and the joint test involving both hypotheses.
dc.languageeng
dc.publisherJohn Wiley & Sons Ltd
dc.relationinfo:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1002/jae.2687
dc.relationinfo:eu-repo/semantics/altIdentifier/url/https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.2687
dc.rightshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.rightsinfo:eu-repo/semantics/restrictedAccess
dc.subjectASSET PRICING
dc.subjectSLOPE HOMOGENEITY
dc.subjectTWO-PASS REGRESSION
dc.subjectSTOCHASTIC DISCOUNT FACTOR
dc.titleTests of asset pricing with time-varying factor loads
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:ar-repo/semantics/artículo
dc.typeinfo:eu-repo/semantics/publishedVersion


Este ítem pertenece a la siguiente institución