Volume and Autocovariances in Short-Horizon Individual Security Returns

1994 ◽  
Vol 49 (4) ◽  
pp. 1305-1329 ◽  
Author(s):  
JENNIFER S. CONRAD ◽  
ALLAUDEEN HAMEED ◽  
CATHY NIDEN
Keyword(s):  
Security Returns ◽  
Short Horizon ◽  
Individual Security

A robustness test of asset-pricing models using individual security returns

2009 ◽  
Vol 16 (6) ◽  
pp. 629-637 ◽  
Author(s):  
Manapon Limkriangkrai ◽  
Robert B. Durand ◽  
Iain Watson
Keyword(s):  
Asset Pricing ◽  
Pricing Models ◽  
Asset Pricing Models ◽  
Security Returns ◽  
Individual Security

Tests of Alternative Asset Pricing Models Using Individual Security Returns and a New Multivariate F-Test

2019 ◽  
Vol 22 (01) ◽  
pp. 1950001
Author(s):  
Shafiqur Rahman ◽  
Matthew J. Schneider
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Relative Performance ◽  
Pricing Models ◽  
Multivariate Test ◽  
Portfolio Returns ◽  
Asset Pricing Models ◽  
Security Returns ◽  
Stock Information ◽  
Individual Security

This paper examines relative performance of alternative asset pricing models using individual security returns. The standard multivariate test used in studies comparing the performance of asset pricing models requires the number of stocks to be less than the number of time series observations, which requires grouping stocks into portfolios. This results in a loss of disaggregate stock information. We apply a different statistical test to overcome this problem and to investigate relative performance of alternative asset pricing models using individual security returns instead of portfolio returns. Our findings suggest that a parsimonious six-factor model that includes the momentum and orthogonal value factors outperforms all other models based on a number of measures as well as the average [Formula: see text]-test. Unlike the standard multivariate test, we find that the average [Formula: see text]-test has superior power to discriminate among competing models and does not reject all tested models.

scholarly journals Components of short-horizon individual security returns

1991 ◽  
Vol 29 (2) ◽  
pp. 365-384 ◽  
Author(s):  
Jennifer Conrad ◽  
Gautam Kaul ◽  
M. Nimalendran
Keyword(s):  
Security Returns ◽  
Short Horizon ◽  
Individual Security
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