Three Common Factors

Hint: these are not the Fama-French 3 factors and they are not even spanned by the Fama-French 5 factors. More importantly, they feature superior out-of-sample pricing performance compared to standard asset pricing models. What is “common” about these factors? We identify the factor space common between individual stocks and sorted portfolios - neither affected by time-varying betas nor by the sorting characteristics

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Year of publication:	[2022]
Authors:	Andreou, Elena ; Gagliardini, Patrick ; Ghysels, Eric ; Rubin, Mirco
Publisher:	[S.l.] : SSRN

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Extent:	1 Online-Ressource (125 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 10, 2022 erstellt
Other identifiers:	10.2139/ssrn.4080215 [DOI]
Classification:	C22 - Time-Series Models ; c38 ; C53 - Forecasting and Other Model Applications ; c55 ; G10 - General Financial Markets. General ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013292065