A factor model for the cross-section of country equity risk premia
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DOI: 10.1016/j.jbankfin.2024.107373
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More about this item
Keywords
Instrumented principal component analysis; IPCA; International asset pricing; Factor model; Return predictability; Equity anomalies; Country equity risk premium; Cross-section of stock returns;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
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
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