The reduced-rank beta in linear stochastic discount factor models
Yang Sun, Xuan Zhang, Zhekai Zhang
| Year of publication: |
2022
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|---|---|
| Authors: | Sun, Yang ; Zhang, Xuan ; Zhang, Zhekai |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 84.2022, p. 1-16
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| Subject: | Asset pricing anomaly | Rank condition | Reduced-rank beta | Spurious factor | Stochastic discount factor | CAPM | Theorie | Theory | Diskontierung | Discounting | Stochastischer Prozess | Stochastic process | Betafaktor | Beta risk | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102421 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013472971