Tests of asset pricing with time-varying factor loads
This paper proposes an empirical asset pricing test based on the homogeneity of the factor risk premia across risky assets. Factor loadings are considered to be dynamic and estimated from data at higher frequencies. The factor risk premia are obtained as estimates from time series regressions applie...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
John Wiley and Sons Ltd
2019
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| Online Access: | View Fulltext in Publisher |