Christoffersen, Peter; Langlois, Hugues - School of Economics and Management, University of Aarhus - 2011
The four equity market factors from Fama and French (1993) and Carhart (1997) are perva- sive in academic empirical asset pricing studies and in applied portfolio allocation. However, the joint distributional dynamics of the factors are rarely studied. For investors basing strate- gies on the...