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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Main Authors: | , , , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2019
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Subjects: | |
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 |