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...
Saved in:
| Main Authors: | , , , |
|---|---|
| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2019
|
| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/2290 https://ink.library.smu.edu.sg/context/soe_research/article/3289/viewcontent/PriceRiskEdit20190707_.pdf |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| 機構: | Singapore Management University |
| 語言: | English |