Advanced search
Publication Cover
Applied Economics Letters Volume 26, 2019 - Issue 11
Submit an article Journal homepage
322
Views
0
CrossRef citations to date
0
Altmetric
Articles

Bayesian asset pricing testing under multivariate t-distribution

Heng ZhangSchool of Economics and Management, Beihang University, Beijing, P.R.ChinaView further author information
,
Nianling WangHanqing Advanced Institute of Economics and Finance, Renmin University of China, Beijing, P.R.ChinaCorrespondence[email protected]
View further author information
,
Yong LiHanqing Advanced Institute of Economics and Finance, Renmin University of China, Beijing, P.R.ChinaView further author information
&
Yiwei ZhanSchool of Information, Renmin University of China, Beijing, P.R.ChinaView further author information
Pages 898-901 | Published online: 29 Aug 2018

References

  • Adcock, C. J. 2010. “Asset Pricing and Portfolio Selection Based on the Multivariate Extended skew-Student-t Distribution.” Annals of Operations Research 176 (1): 221–234. doi:10.1007/s10479-009-0586-4.
  • Barillas, F., and J. Shanken. 2018. “Comparing Asset Pricing Models.” Journal of Finance 73: 715–754. doi:10.1111/jofi.2018.73.issue-2.
  • Breusch, T. S., J. C. Robertson, and A. H. Welsh. 1997. “The Emperor’s New Clothes: A Critique of the Multivariate T Regression Model.” Statistica Neerlandica 51 (3): 269–286. doi:10.1111/stan.1997.51.issue-3.
  • Chib, S., and X. Zeng.2018. “On Comparing Asset Pricing Models”. Olin Business School, Working paper. http://apps.olin.wustl.edu/faculty/chib/workpap.htm
  • Fama, E. F. 1965. “The Behavior of Stock-Market Prices.” Journal of Business 38 (1): 34–105. doi:10.1086/294743.
  • Fama, E. F., and K. R. French. 2015. “A Five-Factor Asset Pricing Model.” Journal of Financial Economics 116 (1): 1–22. doi:10.1016/j.jfineco.2014.10.010.
  • Gibbons, M. R., S. A. Ross, and J. Shanken. 1989. “A Test of the Efficiency of A Given Portfolio.” Econometrica 57 (5): 1121–1152. doi:10.2307/1913625.
  • Harvey, C. R., and G. Zhou. 1990. “Bayesian Inference in Asset Pricing Tests.” Social Science Electronic Publishing 26 (2): 221–254.
  • Kan, R., and G. Zhou. 2017. “Modeling Non-Normality Using Multivariate T: Implications for Asset Pricing.” China Finance Review International 7 (1): 2–32. doi:10.1108/CFRI-10-2016-0114.
  • Li, Y., X. Liu, T. Zeng, and J. Yu. 2018. “A Posterior-Based Wald-Type Statistic for Hypothesis Testing.” Economics & Statistics Working Papers.
  • McDonald, J. B., and W. K. Newey. 1988. “Partially Adaptive Estimation of Regression Models via the Generalized T Distribution.” Econometric Theory 4 (3): 428–457. doi:10.1017/S0266466600013384.
  • Shanken, J. 1987b. “A Bayesian Approach to Testing Portfolio Efficiency.” Journal of Financial Economics 19 (2): 195–216. doi:10.1016/0304-405X(87)90002-X.
  • Spiegelhalter, D., A. Thomas, N. Best, and D. Lunn. 2003. WinBUGS User Manual. Cambridge, UK: MRC Biostatistics Unit.
  • Theodossiou, P. 1998. “Financial Data and the Skewed Generalized T Distribution.” Management Science 44 (12–part–1): 1650–1661. doi:10.1287/mnsc.44.12.1650.
  • Tu, J., and G. Zhou. 2004. “Data-Generating Process Uncertainty: What Difference Does It Make in Portfolio Decisions?” Journal of Financial Economics 72 (2): 385–421. doi:10.1016/j.jfineco.2003.05.003.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.