Cross-Sectional Asset Pricing Tests
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- repec:kap:annfin:v:14:y:2018:i:2:d:10.1007_s10436-017-0316-x is not listed on IDEAS
- Liao Zhu & Sumanta Basu & Robert A. Jarrow & Martin T. Wells, 2018. "High Dimensional Estimation and Multi-Factor Models," Papers 1804.08472, arXiv.org, revised Jul 2018.
- Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
- Christian Fieberg & Armin Varmaz & Thorsten Poddig, 2016. "Covariances vs. characteristics: what does explain the cross section of the German stock market returns?," Business Research, Springer;German Academic Association for Business Research, vol. 9(1), pages 27-50, April.
- Baek, Seungho & Bilson, John F.O., 2015. "Size and value risk in financial firms," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 295-326.
- PAOLA BRIGHI & STEFANO d'ADDONA & ANTONIO CARLO FRANCESCO DELLA BINA, 2013. "The Determinants of Risk Premia on the Italian Stock Market: Empirical Evidence on Common Factors in Asset Pricing Models," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(2), pages 103-133, July.
- Robert Jarrow, 2016. "Bubbles And Multiple-Factor Asset Pricing Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-19, February.
- repec:eee:finana:v:57:y:2018:i:c:p:231-245 is not listed on IDEAS
- repec:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500534 is not listed on IDEAS
More about this item
Keywordsfactor models; stochastic discount factor; asset pricing tests;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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