Conditional nonlinear asset pricing kernels and the size and book-to-market effects
We develop and test asset pricing model formulations that are simultaneously conditional and nonlinear. Formulations based upon five popular asset pricing models are tested against the widely studied Fama and French (1993) twenty-five size and book-to-market sorted portfolios. Test results indica...
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| Language: | English |
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2009
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| Online Access: | http://hdl.handle.net/2429/12968 |