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Linear factor models and the estimation of expected returns
Sarisoy, Cisil; Goeij, Peter de; Werker, Bas J. M. - 2022
Persistent link: https://www.econbiz.de/10013479639
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Time-varying risk premium in large cross-sectional equity data sets
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 3, pp. 985-1046
Persistent link: https://www.econbiz.de/10011579614
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Interest rate changes and the cross-section of global equity returns
Zaremba, Adam; Cakici, Nusret; Bianchi, Robert; Long, … - In: Journal of economic dynamics & control 147 (2023), pp. 1-32
Persistent link: https://www.econbiz.de/10014249731
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Unraveling the value premium : a reward for risk or mispricing?
Serur, Claudio E.; Siri, Julián R.; Serur, Juan Andrés; … - 2019
-quality stocks reduces the overall risk of the portfolio. Regarding the low mispricing portfolio, the results show that growth …
Persistent link: https://www.econbiz.de/10012125294
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Beta Matrix and Common Factors in Stock Returns
Ahn, Seung C. - 2020
We consider the estimation methods for the rank of a beta matrix corresponding to a multifactor model and study which … many models fails to have full column rank, suggesting that risk premiums in these models are under-identified …
Persistent link: https://www.econbiz.de/10012857585
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Beta matrix and common factors in stock returns
Ahn, Seung Chan; Horenstein, Alex R.; Wang, Na - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 3, pp. 1417-1440
Persistent link: https://www.econbiz.de/10011930424
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Information risk, stock returns, and asset pricing : evidence from China
Safdar, Raheel; Chen, Yan - In: Accounting research journal 30 (2017) 4, pp. 379-394
Persistent link: https://www.econbiz.de/10011813072
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Information risk, stock returns, and the cost of capital in China
Safdar, Raheel; Chen, Yan - In: China finance review international 6 (2016) 1, pp. 77-95
Persistent link: https://www.econbiz.de/10011722598
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Estimation of large dimensional conditional factor models in finance
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2020
Persistent link: https://www.econbiz.de/10012392216
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Asset pricing vs asset expected returning in factor models
Favero, Carlo A.; Melone, Alessandro - 2019 - This version: July, 2019
Persistent link: https://www.econbiz.de/10012110349