Inference on Risk Premia in the Presence of Omitted Factors
收藏NBER2017-06-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w23527
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资源简介：
We propose a three-pass method to estimate the risk premia of observable factors in a linear asset pricing model, which is valid even when the observed factors are just a subset of the true factors that drive asset prices or they are measured with error. We show that the risk premium of a factor can
提供机构：
美国国家经济研究局
创建时间：
2017-06-01
