Showing 71 - 80 of 222,598
Persistent link: https://www.econbiz.de/10014314751
Persistent link: https://www.econbiz.de/10014332349
Persistent link: https://www.econbiz.de/10014483091
We examine in this paper the training and test set performance of several equity factor models with a dataset of 20 years of data, 1,200 stocks and 100 factors. First, we examine several models to forecast expected returns, which can be used as baselines for more complex models: linear...
Persistent link: https://www.econbiz.de/10014255242
Persistent link: https://www.econbiz.de/10010357098
Persistent link: https://www.econbiz.de/10012116375
Conditional heteroskedasticity of the error terms is a common occurrence in financial factor models, such as the CAPM …
Persistent link: https://www.econbiz.de/10014232090
Persistent link: https://www.econbiz.de/10012805357
We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non … immune to estimation dimensionality problems. Simulations show good finite sample properties and significant efficiency gains …
Persistent link: https://www.econbiz.de/10012937321
We consider the estimation methods for the rank of a beta matrix corresponding to a multifactor model and study which …
Persistent link: https://www.econbiz.de/10012857585