Multifactor risk loadings and abnormal returns under uncertainty and learning
Year of publication: |
2014
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Authors: | Salotti, Simone ; Trecroci, Carmine |
Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 54.2014, 3, p. 393-404
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Subject: | Multifactor models | Time-varying alphas | Time-varying betas | CAPM | Risiko | Risk | Kapitaleinkommen | Capital income | Kapitalmarktrendite | Capital market returns | Betafaktor | Beta risk | Portfolio-Management | Portfolio selection | Theorie | Theory |
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