On the empirical identification of risk factors in arbitrage pricing models
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Publication:1387945
DOI10.1007/BF01539864zbMATH Open0905.90011OpenAlexW1573842165MaRDI QIDQ1387945FDOQ1387945
Authors: Alfred Hamerle, Daniel Rösch 
Publication date: 8 June 1998
Published in: OR Spektrum (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01539864
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Applications of statistics to economics (62P20) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)
Cites Work
Cited In (9)
- Finding the relevant risk factors for asset pricing
- Explaining the single factor bias of arbitrage pricing models in finite samples
- On the spurious correlation between sample betas and mean returns
- Financial sector risk and the stock returns: evidence from Tokyo Stock Exchange firms
- Price returns efficiency of the Shanghai A-Shares
- Irrational exuberance reconsidered. The cross section of stock returns.
- Unexplained factors and their effects on second pass \(R\)-squared's
- Common risk factors in the returns on stocks and bonds
- Pricing errors and estimates of risk premia in factor models
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