Wyniki wyszukiwania - BazTech

Ograniczanie wyników

Znaleziono wyników: 1

Liczba wyników na stronie

Wyniki wyszukiwania

Wyszukiwano:
w słowach kluczowych: risk premium

Sortuj według:

Ogranicz wyniki do:

Selected Approaches for Testing Asset Pricing Models Using Polish Stock Market Data

Czapkiewicz A., Skalna I.

Decision Making in Manufacturing and Services

2014

Vol. 8, no. 1-2

25--38

The main objective of this paper is to discuss alternative methods for testing the Fama-French (FF) three-factor asset pricing model. The properties of the selected methods are compared through a simulation study. The main stress is put on the behaviour of the selected methods for small samples. The parameters used in the simulation study are obtained on the basis of real data coming from the Polish stock market (Warsaw Stock Exchange). Different sample characteristics such as homoscedasticity, conditional heteroscedasticity and autocorrelation as well as heteroscedasticity are tested.