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Do multi-factor models produce robust results? : econometric and diagnostic issues in equity risk premia study

Paweł Sakowski, Robert Ślepaczuk, Mateusz Wywiał ; University of Warsaw, Faculty of Economic Sciences
Year of publication:
2016
Authors: Sakowski, Paweł ; Ślepaczuk, Robert ; Wywiał, Mateusz
Institutions: Uniwersytet Warszawski / Wydział Nauk Ekonomicznych (issuing body)
Publisher: Warsaw : University of Warsaw, Faculty of Economic Sciences
Subject: Kapitalmarkttheorie | Financial economics | Risikoprämie | Risk premium | Kleinste-Quadrate-Methode | Least squares method | Momentenmethode | Method of moments
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