Articles with "testing pricing" as a keyword



Photo by googledeepmind from unsplash

Testing Pricing Errors of Models with Latent Factors and Firm Characteristics as Covariances

Sign Up to like & get
recommendations!
Published in 2023 at "Management Science"

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