Holgersson, H. E.T.; Karlsson, Peter S.; Mansoor, Rashid - In: Journal of Applied Statistics 39 (2012) 3, pp. 657-671
This article treats the problem of linking the relation between excess return and risk of financial assets when the returns follow a factor structure. The authors propose three different estimators and their consistencies are established in cases when the number of assets in the cross-section...