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Portfolio Overlapping Bias in Tests of the Fama-French Three-Factor Model

  • Published:2015-08-13 Issue:3 Volume:22 Page:367-393
  • ISSN:1354-7798
  • Container-title:European Financial Management
  • language:en
  • Short-container-title:Eur Financial Management

Author:

Tauscher Kathrin1,Wallmeier Martin1

Affiliation:

1. Department of Finance and Accounting; University of Fribourg/Switzerland; Bd. de Pérolles 90, CH-1700 Fribourg Switzerland

Publisher

Wiley

Subject

General Economics, Econometrics and Finance,Accounting

Reference50 articles.

1. Testing conditional asset pricing models using a Markov Chain Monte Carlo approach;Amman;European Financial Management,2008

2. Asset pricing models and financial market anomalies;Avramov;Review of Financial Studies,2006

3. Conditional asset pricing and stock market anomalies in Europe;Bauer;European Financial Management,2010

4. Sorting out sorts;Berk;The Journal of Finance,2000

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