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Estimation theory / Mathematical finance / Statistical inference / M-estimators / Capital asset pricing model / Beta / Fama–French three-factor model / Estimator / Maximum likelihood / Statistics / Financial economics / Economics


Using Stocks or Portfolios in Tests of Factor Models∗ Andrew Ang† Columbia University and NBER Jun Liu‡ CKGSB, SWUFE, and UCSD
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Document Date: 2012-05-28 17:49:11

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La Jolla / /

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SLM / /

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United States / China / /

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University This Version / Otterson Hall / Southwestern University of Finance / Columbia University / Factor Models∗ Andrew Ang† Columbia University / /

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finance textbooks / empirical applications / /

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CKGSB / CRSP / Columbia University / Graduate School / School of Management / Southwestern University / NBER / Columbia Business School / SWUFE / UCSD / /

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Yuhang Xing / Rit / Bob Kimmel / Xiaoyan Zhang / Chen / Rob Grauer / Jun Liu / Bob Hodrick / Krista Schwarz / Raymond Kan / /

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model / Rt / /

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R / /

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California / /

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alpha / /

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http /

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