Inference on Risk Premia in the Presence of Omitted Factors
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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
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美国国家经济研究局创建时间：
2017-06-01
