Asset pricing, the Fama-French Factor Model and the implications of quantile regression analysis [el...
Asset pricing, the Fama-French Factor Model and the implications of quantile regression analysis [electronic resource] / by David E. Allen, Abhay Kumar Singh and Robert Powell.
About this item
Full title
Author / Creator
Publisher
Joondalup, W.A. : School of Accounting, Finance and Economics, Edith Cowan University, 2009.
Date
2009.
Record Identifier
MMS ID
Language
English
Formats
Publication information
Publisher
Joondalup, W.A. : School of Accounting, Finance and Economics, Edith Cowan University, 2009.
Series
Place of Publication
Western Australia
Date Published
2009.
Subjects
More information
Scope and Contents
Summary
In traditional tests of asset pricing theory Ordinary Least Squares (OLS) regression methods are used in empirical tests of factor models, which implies a focus on the means of the distributions of covariates. The work of Koenker and Basset (1982) and Koenker (2005) provides an alternative via Quantile regression featuring inference about condition...
Alternative Titles
Full title
Asset pricing, the Fama-French Factor Model and the implications of quantile regression analysis [electronic resource] / by David E. Allen, Abhay Kumar Singh and Robert Powell.
Authors, Artists and Contributors
Author / Creator
Notes
General note
Working paper / School of Accounting, Finance and Economics, Edith Cowan University ; 0911.
Title from title screen (viewed on March 9, 2011)
"October 2009".
Includes bibliographical references (p. 19-20)
System details note
Mode of access: Internet via World Wide Web. Address as at 09/03/2011: http://www.ecu.edu.au/__data/assets/pdf_file/0013/40432/wp0911da.pdf.
System requirements: Adobe Acrobat Reader to access the document in PDF format.
Contextual Information
Other version (online)
Identifiers
Primary Identifiers
Record Identifier
74Vvd8JjEWlg
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/74Vvd8JjEWlg
Other Identifiers
DDC
332.63222
MMS ID
991005989339702626
