A Comparative Analysis of Ability of Mimicking Portfolios in Representing the Background Factors
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More about this item
Keywords
mimicking portfolio; asset pricing; cross-sectional regression approach; time series regression approach;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2004-03-14 (Finance)
- NEP-RMG-2004-03-14 (Risk Management)
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