Characteristics Are Covariances: A Unified Model of Risk and Return
收藏数据链接：
官方服务：
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
