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Testing Conditional Factor Models · Study

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PreprintTesting Conditional Factor Models

Andrew Ang2009

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Preprintgreen2009

Testing Conditional Factor Models

Andrew Ang · Dennis Kristensen

38 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1996Multifactor Explanations of Asset Pricing Anomalies 1997Industry costs of equity 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 1987Expected stock returns and volatility 2003Modeling and Forecasting Realized Volatility 1980On estimating the expected return on the market

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2010Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model 2009Rejoinder—Customer Satisfaction-Based Mispricing: Issues and Misconceptions 2009Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach

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Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations38

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1353358

openalex_workW2113272196

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