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

被引：0
|
作者：
Renan O. Regis
Raydonal Ospina
Wilton Bernardino
Francisco Cribari-Neto
机构：
[1] Universidade Federal de Pernambuco,Graduated Program in Economics (PIMES)
[2] Universidade Federal de Pernambuco,Department of Statistics
[3] Universidade Federal de Pernambuco,Department of Accounting and Actuarial Sciences
来源：
Empirical Economics | 2023年 / 64卷
关键词：
Asset pricing theory; Brazilian financial market; Fama–French model; Five-factor model; GAMLSS modeling;
D O I：
暂无
中图分类号：
学科分类号：
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.
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页码：2373 / 2409
页数：36
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