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dc.contributor.authorKim, Jihyeon
dc.date.accessioned2018-08-15T04:30:14Z
dc.date.available2018-08-15T04:30:14Z
dc.date.issued2018-05
dc.identifier.otherkim_jihyeon_201805_ms
dc.identifier.urihttp://purl.galileo.usg.edu/uga_etd/kim_jihyeon_201805_ms
dc.identifier.urihttp://hdl.handle.net/10724/38409
dc.description.abstractThere are various asset pricing models proposed in the field of finance by using different traded and non-traded factors. In this paper, a variety of statistical methodologies are introduced for comparisons based on differences between squared Sharpe ratios of such models. Especially, in order to compare mimicking portfolios with non-traded factors, different computations are used for squared Sharpe ratios defined by whether two or more models are nested or non-nested. For empirical analysis, five asset pricing models with traded factors are used; Fama-French 3 factor model by Fama and French (1992), Fama-French 5 factor model by Fama and French (2017), Fama-French models with a momentum factor by Jegadeesh and Titman (1993), and Carhart (1997), and the betting against beta model by Frazzini and Pedersen (2014). For mimicking portfolios, four different non-traded factors, which are proxies for consumption, are compared with those five models.
dc.languageeng
dc.publisheruga
dc.rightspublic
dc.subjectAsset pricing
dc.subjectSharpe ratio
dc.subjectPortfolio theory
dc.subjectMimicking portfolio
dc.subjectNon-traded factor
dc.titleModel comparison with squared sharpe ratios of mimicking portfolios
dc.typeThesis
dc.description.degreeMS
dc.description.departmentStatistics
dc.description.majorStatistics
dc.description.advisorCesare Robotti
dc.description.committeeCesare Robotti
dc.description.committeeCheolwoo Park
dc.description.committeeJeongyoun Ahn


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