Linear Approximations and Tests of Conditional Pricing Models
收藏NBER2006-09-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w12513
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资源简介：
We construct a simple reduced-form example of a conditional pricing model with modest intrinsic nonlinearity. The theoretical magnitude of the pricing errors (alphas) induced by the application of standard linear conditioning are derived as a direct consequence of an omitted variables bias. When the
提供机构：
美国国家经济研究局
创建时间：
2006-09-01
