Characteristics are covariances: a unified model of risk and return
Bryan T.Kelly; Seth Pruitt; Yinan Su
| Year of publication: |
2019
|
|---|---|
| Authors: | Kelly, Bryan T. ; Pruitt, Seth ; Su, Yinan |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 134.2019, 3, p. 501-524
|
| Subject: | Cross section of returns | Latent factors | Anomaly | Factor model | Conditional betas | PCA | BARRA | CAPM | Kapitaleinkommen | Capital income | Schätzung | Estimation | Kapitalmarkttheorie | Financial economics | Portfolio-Management | Portfolio selection | Faktorenanalyse | Factor analysis | Risiko | Risk | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2019.05.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012168621