Factorial asset pricing models using statistical anomalies
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DOI: 10.1016/j.ribaf.2021.101595
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More about this item
Keywords
Asset pricing model; Multifactor model; Outliers; Anomalies; Asymmetrical risk;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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