Market proxies as factors in linear asset pricing models: Still living with the roll critique

A new model misspecification measure for linear asset pricing models is proposed for the case where misspecification maps to latency of one of the pricing factors; in this case, the market return. This measure is suited both for testing models that include the market return as a pricing factor in a...

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Bibliographische Detailangaben

Veröffentlicht in:	Journal of empirical finance 2015-03, Vol.31, p.36-53
1. Verfasser:	Prono, Todd
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset pricing CAPM Conditional CAPM Financial theory ICAPM Market Measurement error Momentum Portfolio analysis Stocks Time-series testing Value
Online-Zugang:	Volltext
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