Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios
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DOI: 10.1016/j.ecosta.2021.11.005
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- M. Hashem Pesaran & Ron P. Smith, 2021. "Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios," CESifo Working Paper Series 9001, CESifo.
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- Feng, Long & Lan, Wei & Liu, Binghui & Ma, Yanyuan, 2022. "High-dimensional test for alpha in linear factor pricing models with sparse alternatives," Journal of Econometrics, Elsevier, vol. 229(1), pages 152-175.
- Wang, Xiantao & Zhu, Yuanguo & Tang, Pan, 2024. "Uncertain mean-CVaR model for portfolio selection with transaction cost and investors’ preferences," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
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More about this item
Keywords
Arbitrage Pricing Theory; Stochastic Discount Factor; portfolios; factor strength; identification of risk premia; two-pass regressions; Fama-MacBeth;All these keywords.
JEL classification:
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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