Panel data analysis of multi-factor capital asset pricing models
Author:
Affiliation:
1. Industry Capability Network, Melbourne Vic, Australia
2. Department of Econometrics and Business Statistics, Monash Business School, Melbourne Vic, Australia
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2019.1619019
Reference37 articles.
1. Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis
2. The Cross-Section of Volatility and Expected Returns
3. Volatility Risk Premiums Embedded in Individual Equity Options
4. Forecasting with panel data
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