Risk and the cross-Section of stock returns

We derive a proxy for expected returns from a noisy multi-asset rational expectations equilibrium model. a goal/contribution of this paper is to use the same proxy for the theorical, numerical, and empirical analyses.

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Year of publication:	2009
Authors:	Burlacu, Radu ; Fontaine, Patrice ; Jimenez-Garcès, Sonia ; Seasholes, Mark
Institutions:	HAL
Subject:	risk premia \| cross-sectional asset pricing \| REE Models

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Language:	Norwegian
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00533068
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008793315