A quantile-based asset pricing model

It is well-known that the standard estimators of the risk premium in asset pricing models are biased when some price factors are omitted. To address this problem, we propose a novel quantile-based asset pricing model and a new estimation method. Our new asset pricing model allows for the risk premiu...

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Bibliographic Details
Main Authors: ANDO, Tomohiro, BAI, Jushan, NISHIMURA, Mitohide, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
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Online Access:https://ink.library.smu.edu.sg/soe_research/2290
https://ink.library.smu.edu.sg/context/soe_research/article/3289/viewcontent/PriceRiskEdit20190707_.pdf
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Institution: Singapore Management University
Language: English