Identification-robust estimation and testing of the zero-beta CAPM

DOI10.1093/RESTUD/RDS044MaRDI QIDQ4610595zbMATH OpenOpenAlexFDO

Authors Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf

Publication date 23 January 2019

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://cirano.qc.ca/files/publications/2011s-21.pdf

zbMATH Keywords

blackbootstrapcapital asset pricing modelCAPMexact testFiellerGARCHmean-variance efficiencyMonte Carlo testmultivariate linear regressionnon-normalitynuisance parametersportfolio repackinguniform linear hypothesisweak identification

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Recommendations

• A comparison of mean-variance efficiency tests
• Exact multivariate tests of asset pricing models with stable asymmetric distributions
• The econometrics of mean‐variance efficiency tests: a survey
• Statistical inference procedure for the mean-variance efficient frontier with estimated parameters
• A new test on the conditional capital asset pricing model

Cited in

(24)

• Identification and inference in two-pass asset pricing models
• Statistical foundations for assessing the difference between the classical and weighted-Gini betas
• Combining p-values to test for multiple structural breaks in cointegrated regressions
• Inference in partially identified heteroskedastic simultaneous equations models
• Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
• Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels
• Regression discontinuity designs, white noise models, and minimax
• Exact confidence sets and goodness-of-fit methods for stable distributions
• Testing the capital asset pricing model with local maximum likelihood methods
• Identification robust inference in cointegrating regressions
• Classical ergodicity and modern portfolio theory
• EFFICIENCY GAINS IN BETA‐PRICING MODELS¹
• Beyond CAPM: estimating the cost of equity considering idiosyncratic risks
• Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability
• Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach
• Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds
• Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*
• Identification-Robust Inference With Simulation-Based Pseudo-Matching
• Double robust inference for continuous updating GMM
• A testable version of the Pareto-Stable CAPM
• Identification-robust and simultaneous inference in multifactor asset pricing models
• Identification robust inference for the risk premium in term structure models
• Exact and asymptotic tests on a factor model in low and large dimensions with applications
• A new test on the conditional capital asset pricing model

This page was built for publication: Identification-robust estimation and testing of the zero-beta CAPM

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4610595)