Internet Appendix for “ Measuring the ‘ Dark Matter ’ in Asset Pricing Models ”

Abstract

This article contains supplemental materials for Chen, Dou, and Kogan (2013). In Section A, we provide more details of the hypothesis tests for the disaster risk model with learning in Section 2 of the paper. In Section B, we use a simple interest rate model to illustrate how the asymptotic and finite-sample information ratios are constructed. In Section C… (More)

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Cite this paper

@inproceedings{Chen2013InternetAF, title={Internet Appendix for “ Measuring the ‘ Dark Matter ’ in Asset Pricing Models ”}, author={Hui Chen and Winston Wei Dou and Leonid Kogan}, year={2013} }