Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2019 - This version: August 2019
finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to … diagnosing model specification, estimating conditional risk premia, and testing asset pricing restrictions under increasing cross … models and contrast analysis based on individual stocks and standard sets of portfolios. We also discuss the impact on …