An asset pricing test is just variable selection confined to the intercepts. Framing the testing problem as variable selection facilitates development of a new Bayesian multivariate test that strikes a balance between the extreme of tests based purely on statistical significance …
CITATION STYLE
Stevens, R. L. (1997). Variable Selection Tests of Asset Pricing Models (pp. 271–302). https://doi.org/10.1007/978-1-4612-2290-3_6
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