Asset pricing specification errors and performance evaluation

DOI10.1023/A:1009803503148MaRDI QIDQ4503059zbMATH OpenOpenAlexFDO

Authors Jia He, Lilian K. Ng, Chu Zhang

Publication date 5 August 2001

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009803503148, http://hdl.handle.net/10.1023/A:1009803503148

zbMATH Keywords

asset pricingminimum specification-error methodMSE performance measurespricing error

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)

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(5)

• Measurement errors in stock markets
• Capital asset pricing models revisited: evidence from errors in variables
• Portfolio performance sensitivity for various asset-pricing kernels
• Positive alphas, abnormal performance, and illusory arbitrage
• Mutual fund performance: false discoveries, bias, and power

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