Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun; … - 2020
covariances and that it estimates these moments simultaneously. We apply this model to obtain long- and short-run factor betas for … industry test portfolios, where the risk factors are the market, SMB, and HML portfolios. We use these betas in cross … significantly positive, irrespective of the choice of test portfolio. Further, the risk premia for the short-run betas of all the …