Panel data analysis of multi-factor capital asset pricing models
- Resource Type
- Authors
- Param Silvapulle; Tariro Makwasha; Jill Wright
- Source
- Applied Economics. 51:6459-6475
- Subject
- Economics and Econometrics
050208 finance
0502 economics and business
05 social sciences
Econometrics
Economics
Risk exposure
Capital asset
Volatility risk
050207 economics
Predictability
Panel data
Test (assessment)
- Language
- ISSN
- 1466-4283
0003-6846
In this article, we propose MFCAPM panel models with fixed effects and test theories associated with risk exposures and anomalies postulated by Fama and French, and we assess their out-of-sample pr...