Estimation and inference in low frequency factor model regressions with overlapping observations-Reference-Cited by-同舟云学术

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Estimation and inference in low frequency factor model regressions with overlapping observations

Published:2024-09 Issue: Volume:78 Page:101536
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Dossani Asad^ORCID

Publisher

Elsevier BV

Reference28 articles.

1. Reference-day risk and the use of monthly returns data;Acker;J. Account. Audit. Finance,2007

2. An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator;Andrews;Econometrica,1992

3. Beta estimates of shares on the JSE Top 40 in the context of reference-day risk;Baker;Environ. Syst. Decis.,2016

4. Horizon effects in average returns: The role of slow information diffusion;Boguth;Rev. Financ. Stud.,2016

5. Empirical tests of the consumption-oriented CAPM;Breeden;J. Finance,1989

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