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Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach. (2018). Kim, Soohun ; Skoulakis, Georgios .
In: Journal of Econometrics.
RePEc:eee:econom:v:204:y:2018:i:2:p:159-188.

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  2. Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe.
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  3. Factor models with many assets: Strong factors, weak factors, and the two-pass procedure. (2022). Anatolyev, Stanislav ; Mikusheva, Anna.
    In: Journal of Econometrics.
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  4. Eigenvalue tests for the number of latent factors in short panels. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe.
    In: Papers.
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  5. The reliability of geometric Brownian motion forecasts of S&P500 index values. (2021). Sinha, Amit K.
    In: Journal of Forecasting.
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  6. A literature review of new methods in empirical asset pricing: omitted-variable and errors-in-variable bias. (2021). Hemauer, Tobias ; Collot, Solene.
    In: Financial Markets and Portfolio Management.
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  7. An inflation-based ICAPM in China. (2021). Zhang, Han.
    In: Pacific-Basin Finance Journal.
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  8. Factors and risk premia in individual international stock returns. (2021). Scaillet, Olivier ; Chaieb, Ines ; Langlois, Hugues.
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  9. Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference. (2020). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: Cahiers de recherche.
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  10. Investor overconfidence and the security market line: New evidence from China. (2020). Li, Youwei ; Han, Xing.
    In: Journal of Economic Dynamics and Control.
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  11. Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference. (2020). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
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  12. The Bias in Two-Pass Regression Tests of Asset-Pricing Models in Presence of Idiosyncratic Errors with Cross-Sectional Dependence. (2019). Banziger, Armin ; Gramespacher, Thomas.
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  13. Estimation of large dimensional conditional factor models in finance. (2019). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick.
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  14. Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?. (2018). Fletcher, Jonathan.
    In: The North American Journal of Economics and Finance.
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    In: Textos para discussão.
    RePEc:fgv:eesptd:341.

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  44. Growth options, macroeconomic conditions, and the cross section of credit risk. (2013). Wagner, Alexander ; Arnold, Marc ; Westermann, Ramona .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:107:y:2013:i:2:p:350-385.

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  45. Understanding industry betas. (2013). Londono, Juan M. ; Baele, Lieven .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:22:y:2013:i:c:p:30-51.

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  46. Do the production-based factors capture the time-varying patterns in stock returns?. (2013). Lee, Chang Jun ; Kang, Jangkoo.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:15:y:2013:i:c:p:122-135.

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  47. Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches. (2012). Ang, Andrew ; Sorensen, Morten.
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:02:y:2012:i:03:n:s2010139212500115.

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  48. Testing conditional factor models. (2012). Kristensen, Dennis ; Ang, Andrew.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:106:y:2012:i:1:p:132-156.

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  49. Empirical Cross-Sectional Asset Pricing. (2012). Nagel, Stefan.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9227.

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  50. Time-Varying Beta Estimators in the Mexican Emerging Market. (2011). Zarraga, Ainhoa ; Orbe, Susan ; Alonso, Ainhoa Zarraga ; Mandaluniz, Susan Orbe ; Domenech, Belen Nieto .
    In: BILTOKI.
    RePEc:ehu:biltok:5283.

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