Ditapis dengan
Test Assets and Weak Factors
We show that two important issues in empirical asset pricing—the presence of weak factors and the selection of test assets—are deeply connected. Since weak factors are those to which test assets have limited exposure, an appropriate selection of test assets can improve the strength of factors. Building on this insight, we introduce supervised principal component analysis (SPCA), a methodolo…
- Edisi
- Volume 80, Issue 1, February 2025, Pages 259-319
- ISBN/ISSN
- 1540-6261
- Deskripsi Fisik
- ill, chart, table, grafik, 649 hal, 20 cm
- Judul Seri
- -
- No. Panggil
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Equity Term Structures without Dividend Strips Data
We use a large cross section of equity returns to estimate a rich affine model of equity prices, dividends, returns, and their dynamics. Our model prices dividend strips of the market and equity portfolios without using strips data in the estimation. Yet model-implied equity yields closely match yields on traded strips. Our model extends equity term-structure data over time (to the 1970s) and a…
- Edisi
- Volume 79, Issue 6, December 2024, Pages 4143-4196
- ISBN/ISSN
- 1540-6261
- Deskripsi Fisik
- ill, chart, table, grafik, 676 hal, 20 cm
- Judul Seri
- -
- No. Panggil
- -
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