Inference in asset pricing models with a low-variance factor
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DOI: 10.1016/j.jbankfin.2012.11.007
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More about this item
Keywords
Low-variance factor; Local asymptotics; Fama–MacBeth method;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
Statistics
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