Asset pricing in the Brazilian financial market: five-factor GAMLSS modeling

被引：1
|
作者：
Regis, Renan O. [1 ]
Ospina, Raydonal [2 ]
Bernardino, Wilton [3 ]
Cribari-Neto, Francisco [2 ]
机构：
[1] Univ Fed Pernambuco, Grad Program Econ PIMES, BR-50670901 Recife, PE, Brazil
[2] Univ Fed Pernambuco, Dept Stat, BR-50670901 Recife, PE, Brazil
[3] Univ Fed Pernambuco, Dept Accounting & Actuarial Sci, BR-50670901 Recife, PE, Brazil
来源：
EMPIRICAL ECONOMICS | 2023年 / 64卷 / 05期
关键词：
Asset pricing theory; Brazilian financial market; Fama-French model; Five-factor model; GAMLSS modeling; CROSS-SECTION; RISK; NONNORMALITY; EQUILIBRIUM; COEFFICIENT; ANOMALIES; RETURN;
D O I：
10.1007/s00181-022-02316-3
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We model asset prices in Brazil using the five-factor asset pricing model. We show that Gaussian regression models fail to capture the full data dynamics. We then fit Generalized Additive Models for Location Scale and Shape with data-selected underlying laws. They are based on laws related to the Student t distribution, appear to be correctly specified and deliver good data fits. All estimated models are evaluated using performance measures that are standard in the literature.
引用
收藏
页码：2373 / 2409
页数：37
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