Testing Pricing Errors of Models with Latent Factors and Firm Characteristics as Covariances
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DOI: 10.1287/mnsc.2023.4768
Abstract: This paper extends the methodology of statistically extracting latent factors in settings with return-predictive firm characteristics as conditional covariances (betas) between returns and factors. The main feature is that the pricing errors (alphas) are specified… read more here.
Keywords: latent factors; pricing; errors models; testing pricing ... See more keywords