Unpriced Risks: Rethinking Cross-Sectional Asset Pricing
收藏NBER2025-07-01 更新2025-07-19 收录
下载链接：
https://www.nber.org/papers/w34009
下载链接
链接失效反馈官方服务：
资源简介：
Characteristic-based factors embed large unpriced components that depress Sharpe ratios and deviate from the mean-variance efficient (MVE) frontier. We discuss how to decompose tradable factor returns into priced (MVE) and unpriced components, showing that hedging unpriced variation realigns factors
提供机构：
美国国家经济研究局
创建时间：
2025-07-01
