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Document type:
Masterarbeit
Author(s):
Ausäderer, Patrick
Title:
A Comparison of Factor Models for the Japanese Stock Market
Abstract:
This thesis explains a methodology for relative tests of factor-based asset pricing models. In particular, the concept of comparing competing models with the maximum Sharpe ratio is illustrated, both for nested and non-nested models. For empirical purposes, the thesis explains the use of spanning regressions, the GRS test, bootstrapping and the asymptotic behaviour of Sharpe ratio differences. Applying the methodology to data samples of the US and the Japanese market for popular models, the S...     »
Advisor:
Kaserer, Christoph ; Huber, Daniel
Referee:
Zagst, Rudi
Year:
2018
University:
Technische Universität München
Faculty:
Fakultät für Mathematik
TUM Institution:
Lehrstuhl für Finanzmathematik
Last change:
15.10.2018
 BibTeX