Simlai, Prodosh E. - In: Managerial Finance 48 (2021) 2, pp. 289-312
/methodology/approach: This study uses innovations of systematic risk, which affect the cash flows and risk-adjusted discount rates of all firms … three-dimensional test portfolios. For unobserved innovations, this study estimates a triangular structural vector … autoregressive system and obtain the exogenous innovations in state variables. The author uses Fama-MacBeth two-pass cross …