Figure A.6:
A diagram of a line graph shows Price of Risk Lambda Estimation with Intercept, T equals 200 and N equals 31, comparing probability to reject lambda equals 0 versus population correlation with true factor.
Description: This figure complements Figure A.5 and increases T to 200 years.
Interpretation: The over-rejection problem of FMB/Shanken standard errors becomes a concern in large samples. The bootstrap confidence intervals do not over-reject “useless” factors in large samples.

FMB-Shanken and GRS-FAR Power Curves With Varying the Risk Factor (Betas): Misspecified Model, Estimation with Intercept, T = 200.

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