Comparing Asset Pricing Models
收藏NBER2015-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w21771
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资源简介：
A Bayesian asset-pricing test is derived that is easily computed in closed-form from the standard F-statistic. Given a set of candidate traded factors, we develop a related test procedure that permits an analysis of model comparison, i.e., the computation of model probabilities for the collection of
提供机构：
美国国家经济研究局
创建时间：
2015-12-01
