Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off
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We propose testing asset-pricing models using multi-horizon returns (MHR). MHR effectively generate a new set of test assets that are endogenous to the model and that identify a broad set of possible conditional misspecifications. We apply MHR-based testing to prominent linear factor models and show
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美国国家经济研究局创建时间：
2018-12-01
