Test Assets and Weak Factors
收藏NBER2021-07-01 更新2025-01-04 收录
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https://www.nber.org/papers/w29002
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资源简介：
Estimation and testing of factor models in asset pricing requires choosing a set of test assets. The choice of test assets determines how well different factor risk premia can be identified: if only few assets are exposed to a factor, that factor is weak, which makes standard estimation and
提供机构：
美国国家经济研究局
创建时间：
2021-07-01
