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- Title
Using Bootstrap to Test Portfolio Efficiency.
- Authors
Pin-Huang Chou; Guofu Zhou
- Abstract
To facilitate wide use of the bootstrap method in finance, this paper shows by intuitive arguments and by simulations how it can improve upon existing tests to allow less restrictive distributional assumptions on the data and to yield more reliable (higher-order accurate) asymptotic inference. In particular, we apply the method to examine the efficiency of CRSP value-weighted stock index, and to test the well-known Fama and French (1993) three-factor model. We find that existing tests tend to over-reject.
- Subjects
STATISTICAL bootstrapping; DISTRIBUTION (Probability theory); STATISTICAL sampling; FINANCE; ECONOMICS
- Publication
Annals of Economics & Finance, 2006, Vol 7, Issue 2, p217
- ISSN
1529-7373
- Publication type
Article