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Journal of Empirical Finance
Volumn 12, Issue 4, 2005, Pages 556-575
Evaluating the importance of missing risk factors using the optimal orthogonal portfolio approach
Author keywords

Factor pricing; Investment strategy; Orthogonal portfolio; Simulated annealing
Indexed keywords

EID: 26844566285     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2004.09.002     Document Type: Article
Times cited : (6)
References (13)
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    • Connor, G.1    Korajczyk, R.A.2
  • 3
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • E.F. Fama K.R. French Common risk factors in the returns on stocks and bonds Journal of Financial Economics 33 1993 3-56
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 4
    • 0013413658 scopus 로고    scopus 로고
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    • E.F. Fama K.R. French Multifactor explanations of asset pricing anomalies Journal of Finance 51 1996 55-84
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    • Fama, E.F.1    French, K.R.2
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    • Global optimization of statistical functions with simulated annealing
    • W.L. Goffe G.D. Ferrier J. Rogers Global optimization of statistical functions with simulated annealing Journal of Econometrics 60 1994 65-99
    • (1994) Journal of Econometrics , vol.60 , pp. 65-99
    • Goffe, W.L.1    Ferrier, G.D.2    Rogers, J.3
  • 6
    • 84977349574 scopus 로고
    • Performance hypothesis testing with the Sharpe and Treynor measures
    • J.D. Jobson B.M. Korkie Performance hypothesis testing with the Sharpe and Treynor measures Journal of Finance 36 1981 889-908
    • (1981) Journal of Finance , vol.36 , pp. 889-908
    • Jobson, J.D.1    Korkie, B.M.2
  • 7
    • 0000288739 scopus 로고
    • The empirical foundations of the arbitrage pricing theory
    • B. Lehman D. Modest The empirical foundations of the arbitrage pricing theory Journal of Financial Economics 21 1988 213-254
    • (1988) Journal of Financial Economics , vol.21 , pp. 213-254
    • Lehman, B.1    Modest, D.2
  • 8
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    • Multifactor models do not explain deviations from the CAPM
    • A.C. MacKinlay Multifactor models do not explain deviations from the CAPM Journal of Financial Economics 38 1995 3-28
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    • MacKinlay, A.C.1
  • 9
    • 0039597034 scopus 로고    scopus 로고
    • Asset pricing models: Implications for expected returns and portfolio selection
    • A.C. MacKinlay L. Pastor Asset pricing models: Implications for expected returns and portfolio selection Review of Financial Studies 13 2000 883-916
    • (2000) Review of Financial Studies , vol.13 , pp. 883-916
    • MacKinlay, A.C.1    Pastor, L.2
  • 10
    • 0001738730 scopus 로고
    • An intertemporal capital asset pricing model
    • R.C. Merton An intertemporal capital asset pricing model Econometrica 41 1973 867-887
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    • Merton, R.C.1
  • 11
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    • On estimating the expected return on the market: An explanatory investigation
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    • The arbitrage theory of capital asset pricing
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.