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Chapter 3. Estimation of large dimensional conditional factor models in finance

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Handbook of econometrics : Volume 7A, (pp. 219-282). 2020

This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...

Persistent link: https://www.econbiz.de/10014024924

Overcoming deterministic limits to robustness tests of decision-making given incomplete information : the state contingent analysis approach

Adamson, David; Loch, Adam - In: Water Economics and Policy : WEP 08 (2022) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10014444905

Arbitrage and leverage strategies in bubbles under synchronization risks and noise-trader risks

Tan, Senren; Zhuo, Jin; Wu, Fuke - In: Economic modelling 49 (2015), pp. 331-343

Persistent link: https://www.econbiz.de/10011439593

Market timing of seasoned equity offerings with long regulative process

Huang, Yong; Uchida, Konari; Zha, Daolin - In: The journal of corporate finance : contracting, … 39 (2016), pp. 278-294

Persistent link: https://www.econbiz.de/10011548651

Institutional shareholders and SEO market timing

Hovakimian, Armen; Hu, Huajing - In: The journal of corporate finance : contracting, … 36 (2016), pp. 1-14

Persistent link: https://www.econbiz.de/10011453232

Is Fundamental Indexation able to time the market? : evidence from the Dow Jones Industrial Average and the Russell 1000

Chen, Doris; Dempsey, Michael; Lajbcygier, Paul - In: Journal of international financial markets, … 37 (2015), pp. 162-177

Persistent link: https://www.econbiz.de/10011475058

Equity misvaluation and SEO initiation in China

Liu, Jihong; Yan, Chao; Huang, Yong - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 14, pp. 4054-4069

Persistent link: https://www.econbiz.de/10012650083

Delegated asset management and performance when some investors are unsophisticated

Malliaris, Steven; Malliaris, Anastasios G. - In: Journal of banking & finance 133 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013256683

Beta dispersion and market timing

Kuntz, Laura-Chloé - In: Journal of empirical finance 59 (2020), pp. 235-256

Persistent link: https://www.econbiz.de/10012437978

Is market timing good for shareholders?

Babenko, Ilona; Tserlukevich, Yuri; Wan, Pengcheng - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3542-3560

Persistent link: https://www.econbiz.de/10012289170