Market proxies as factors in linear asset pricing models : still living with the roll critique
Todd Prono (Department of Finance and Real Estate, Kogod School of Business at American University, Washington, United States)
| Year of publication: |
March 2015
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| Authors: | Prono, Todd |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 31.2015, p. 36-53
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| Subject: | Asset pricing | CAPM | Conditional CAPM | ICAPM | Measurement error | Momentum | Time-series testing | Value | Theorie | Theory | Schätzung | Estimation | Statistischer Fehler | Statistical error | Börsenkurs | Share price | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2015.02.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011489332