Censoring and its impact on multivariate testing of the Capital Asset Pricing Model

The primary objective of this paper is to assess the affect of data 'censoring' on asset pricing tests. This is achieved by modifying tests to incorporate a 'selectivity bias' correction factor in a Gibbons (Journal of Financial Economics, 10, pp. 3-27, 1982 ) multivariate framew...

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Veröffentlicht in:	Applied financial economics 2004-03, Vol.14 (6), p.413-420
Hauptverfasser:	Brooks, Robert D., Faff, Robert W., Fry, Tim R. L., Newton, Emma
Format:	Artikel
Sprache:	eng
Schlagworte:	Assets Australia Capital assets CAPM Censorship Economics Finance Methodology Model testing Pricing Rates of return Statistical analysis Statistical methods Stock prices Stock returns Studies
Online-Zugang:	Volltext
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