Characteristics Are Covariances: A Unified Model of Risk and Return
收藏NBER2018-04-01 更新2025-01-04 收录
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https://www.nber.org/papers/w24540
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资源简介：
We propose a new modeling approach for the cross section of returns. Our method, Instrumented Principal Components Analysis (IPCA), allows for latent factors and time-varying loadings by introducing observable characteristics that instrument for the unobservable dynamic loadings. If the
提供机构：
美国国家经济研究局
创建时间：
2018-04-01
