Non-parametric and semi-parametric asset pricing
“Furthermore, the linearity of the CAPM can be rejected, thus the widely used risk and performance measures, the beta and the alpha, are biased and inconsistent.”
AssetEquities
StrategySize premium
TechniqueLinear factor model
GeographyUSEurope
Also stated: Alpha
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodSize premium by year
FamilySize premium22Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 980
AssetEquities18
AuthorsErdos, Ormos, Zibriczky1
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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