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Mimicking portfolios, economic risk premia, and tests of multi-beta models

Citations

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Cited by:

  1. Murtazashvili, Irina & Vozlyublennaia, Nadia, 2013. "When do characteristics-sorted factors mechanically explain returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 119-143.
  2. Zhang, Xiang & Liu, Yangyi & Wu, Kun & Maillet, Bertrand, 2021. "Tradable or nontradable factors—what does the Hansen–Jagannathan distance tell us?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 853-879.
  3. Matthias Huss & Heinz Zimmermann, 2018. "The Pricing of Liquidity Risk in Buyout Funds – A Public Market Perspective," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 70(3), pages 285-312, July.
  4. Ahn, Seung C. & Perez, M. Fabricio & Gadarowski, Christopher, 2013. "Two-pass estimation of risk premiums with multicollinear and near-invariant betas," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 1-17.
  5. Shanken, Jay & Zhou, Guofu, 2007. "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," Journal of Financial Economics, Elsevier, vol. 84(1), pages 40-86, April.
  6. João Pedro Pereira & António Rua, 2018. "Asset Pricing with a Bank Risk Factor," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 993-1032, August.
  7. Murtazashvili, Irina & Vozlyublennaia, Nadia, 2012. "The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1057-1066.
  8. Peñaranda, Francisco & Sentana, Enrique, 2016. "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
  9. Balduzzi, Pierluigi & Robotti, Cesare, 2010. "Asset pricing models and economic risk premia: A decomposition," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 54-80, January.
  10. Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.
  11. Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin, 2013. "The “out-of-sample” performance of long run risk models," Journal of Financial Economics, Elsevier, vol. 107(3), pages 537-556.
  12. Semenov, Andrei, 2021. "Measuring the stock's factor beta and identifying risk factors under market inefficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 635-649.
  13. Geoffroy Enjolras & Robert Kast & Patrick Sentis, 2009. "Diversification in Area-Yield Crop Insurance : The Multi Linear Additive Model," Working Papers 09-15, LAMETA, Universtiy of Montpellier, revised Nov 2009.
  14. Kim, Jinyong & Kim, Kun Ho & Lee, Jeong Hwan, 2021. "Cross-sectional tests of asset pricing models with full-rank mimicking portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  15. Kroencke, Tim A. & Schindler, Felix & Sebastian, Steffen & Theissen, Erik, 2013. "GDP mimicking portfolios and the cross-section of stock returns," ZEW Discussion Papers 13-026, ZEW - Leibniz Centre for European Economic Research.
  16. Robert F Engle & Stefano Giglio & Bryan Kelly & Heebum Lee & Johannes Stroebel, 2020. "Hedging Climate Change News," The Review of Financial Studies, Society for Financial Studies, vol. 33(3), pages 1184-1216.
  17. Robert Kast, 2011. "Managing financial risks due to natural catastrophes," Working Papers hal-00610241, HAL.
  18. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
  19. Nadler, Philip & Guo, Yike, 2020. "The fair value of a token: How do markets price cryptocurrencies?," Research in International Business and Finance, Elsevier, vol. 52(C).
  20. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2011. "Fixed-income fund performance: Role of luck and ability in tail membership," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 379-392, June.
  21. Cisil Sarisoy & Bas J.M. Werker, 2024. "Linear Factor Models and the Estimation of Expected Returns," Finance and Economics Discussion Series 2024-014, Board of Governors of the Federal Reserve System (U.S.).
  22. Chen, Yong & Ferson, Wayne & Peters, Helen, 2010. "Measuring the timing ability and performance of bond mutual funds," Journal of Financial Economics, Elsevier, vol. 98(1), pages 72-89, October.
  23. Bakshi, Gurdip & Panayotov, George, 2013. "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, vol. 110(1), pages 139-163.
  24. Jinyong Kim & Kun Ho Kim & Jeong Hwan Lee, 2021. "Efficient Mimicking Portfolios in Asset Pricing Tests," Korean Economic Review, Korean Economic Association, vol. 37, pages 399-417.
  25. Ouysse, Rachida & Kohn, Robert, 2010. "Bayesian variable selection and model averaging in the arbitrage pricing theory model," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3249-3268, December.
  26. Yong Chen & Wayne Ferson & Helen Peters, 2009. "Measuring the Timing Ability and Performance of Bond Mutual Funds," NBER Working Papers 15318, National Bureau of Economic Research, Inc.
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