The reduced-rank beta in linear stochastic discount factor models
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DOI: 10.1016/j.irfa.2022.102421
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More about this item
Keywords
Reduced-rank beta; Stochastic discount factor; Rank condition; Spurious factor; Asset pricing anomaly;All these keywords.
JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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