SUBPERIOD AGGREGATION AND THE POWER OF MULTIVARIATE TESTS OF PORTFOLIO EFFICIENCY

被引：22

作者：

GIBBONS, MR ^{[1
]}

SHANKEN, J ^{[1
]}

机构：

[1] UNIV ROCHESTER,ROCHESTER,NY 14627

来源：

关键词：

D O I：

10.1016/0304-405X(87)90011-0

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：389 / 394

页数：6

共 9 条

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[2]

FISHER RA, 1932, STATISTICAL METHODS

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[4]

GIBBONS MR, 1986, 853 STANF U GRAD SCH

[5]

Johnson N., 1995, WILEY SERIES PROBABI, V2

[6]

MACKINLAY C, 1987, J FINANCIAL EC, V18, P341

[7] A BAYESIAN-APPROACH TO TESTING PORTFOLIO EFFICIENCY [J].

SHANKEN, J .

[8] MULTIVARIATE TESTS OF THE ZERO-BETA-CAPM [J].

SHANKEN, J .

STAMBAUGH, RF .