Pricing errors and estimates of risk premia in factor models
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DOI: 10.1007/s10436-008-0116-4
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Cited by:
- Kodongo, Odongo & Ojah, Kalu, 2011. "Foreign exchange risk pricing and equity market segmentation in Africa," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2295-2310, September.
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More about this item
Keywords
Arbitrage pricing theory; Risk premia; Pricing errors; C15; G12;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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