Notes on Dynamic Factor Pricing Models
收藏NBER1991-04-01 更新2025-01-04 收录
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https://www.nber.org/papers/w3677
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资源简介：
These notes discuss three aspects of dynamic factor pricing (i.e., APT) models. The first one is that diversifiable idiosyncratic risk is unpredictable in a no-arbitrage world. The second feature is that the conditional factor loadings or betas on the common factors are approximately constant when
提供机构：
美国国家经济研究局
创建时间：
1991-04-01
