A critical investigation of the explanatory role of factor mimicking portfolios in multifactor asset pricing models
Author:
Affiliation:
1. a Department of Economics , Lund University , Box 7082 S-22007 Lund, Sweden
2. b Department of Economics , Lund University , Box 7082 S-22007 Lund, Sweden E-mail:
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/09603100500166186
Reference12 articles.
1. The Risk and Return from Factors
2. On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model
3. Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
4. The Cross-Section of Expected Stock Returns
5. Common risk factors in the returns on stocks and bonds
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