This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...

This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...

This paper examines the overreaction hypothesis on the JSE Securities Exchange (JSE) documented by Page and Way [5] and Muller [4] over a longer and more recent period from 01 January 1993 to 31 March 2009. The mean reversals due to investor overreaction are found to be stronger for the past...