Testing pricing errors of models with latent factors and firm characteristics as covariances
Year of publication: |
2024
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Authors: | Zhang, Chu |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 70.2024, 3, p. 1706-1728
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Subject: | beta pricing models | pricing errors (alphas) | return-predictive firm characteristics | statistically extracted latent factors | CAPM | Schätzung | Estimation | Börsenkurs | Share price | Theorie | Theory | Kapitaleinkommen | Capital income |
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