Solórzano-Taborga, Pablo; Alonso-Conde, Ana Belén; … - In: International Journal of Financial Studies : open … 8 (2020) 2/24, pp. 1-18
create the efficiency factor. Secondly, we estimate the prices of risk tied to the four factors using ordinary least squares … the performance of the model, including and omitting the efficiency factor. The results show that the efficiency factor … conclude that the efficiency index may be used as a factor in asset pricing models. …