Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

• M. Hashem Pesaran

• Takashi Yamagata

Journal

• ISER discussion paper

  ISER discussion paper (997), 2017-04

  Toyonaka : Institute of Social and Economic Research

Keywords

• CAPM
• Testing for alpha
• Weak and spatial error cross-sectional dependence
• S&P 500 securities
• Long/short equity strategy

Details

• CRID: 1522262181059238784
• NII Article ID: 40022347000
• ISSN: 0473453X
• NDL BIB ID: 030637285
• Web Site: http://id.ndl.go.jp/bib/030637285
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I030637285
• Text Lang: en
• NDL Source Classification:
  • ZD11(経済--経済学)
• Data Source:
  • NDL
  • CiNii Articles