Multi-factor asset pricing models : factor construction choices and the revisit of pricing factors
Year of publication: |
July 2018
|
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Authors: | Skočir, Matevž ; Lončarski, Igor |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 55.2018, p. 65-80
|
Subject: | Multi-factor models | Factor construction | Pricing factors | Sorting portfolios | Liquidity factor | Default risk factor | CAPM | Portfolio-Management | Portfolio selection | Faktorenanalyse | Factor analysis | Schätzung | Estimation | Kapitalmarkttheorie | Financial economics | Kapitaleinkommen | Capital income |
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