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ECONIS (ZBW)
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1
Factor strengths, pricing errors, and estimation of risk premia
Pesaran, M. Hashem
;
Smith, Ron
-
2021
factor strengths for the five
Fama-French
factors
, and show that only the market factor can be viewed as strong. …
Persistent link: https://www.econbiz.de/10012486668
Saved in:
2
The role of factor strength and pricing errors for estimation and inference in asset pricing models
Pesaran, M. Hashem
;
Smith, Ron
-
2019
monthly rolling estimates of the factor strengths for the three
Fama
-
French
factors
over the period 1989-2018. …
Persistent link: https://www.econbiz.de/10012118575
Saved in:
3
Multifactor models and their consistency with the APT
Cooper, Ilan
;
Ma, Liang
;
Maio, Paulo
;
Philip, Dennis
- In:
Review of asset pricing studies : RAPS
11
(
2021
)
2
,
pp. 402-444
Persistent link: https://www.econbiz.de/10012545909
Saved in:
4
Size and value risk in financial firms
Baek, Seungho
;
Bilson, John F.
- In:
Journal of banking & finance
55
(
2015
),
pp. 295-326
Persistent link: https://www.econbiz.de/10011379102
Saved in:
5
A cross-section analysis of financial market integration in North America using a four factor model
Beaulieu, Marie-Claude
;
Gagnon, Marie-Hélène
;
Khalaf, …
- In:
International journal of managerial finance : IJMF
5
(
2009
)
3
,
pp. 248-267
Persistent link: https://www.econbiz.de/10003935303
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