Mispricing, returns and the quest for parsimony
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DOI: 10.1016/j.frl.2019.101368
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Cited by:
- Fang, Ming & Taylor, Stephen, 2021. "A machine learning based asset pricing factor model comparison on anomaly portfolios," Economics Letters, Elsevier, vol. 204(C).
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More about this item
Keywords
Mispricing; Stock returns; Asset pricing model fit; Factor model selection; Bayesian factor inclusion; Sharpe ratio tests;All these keywords.
JEL classification:
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
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