Search Results - subject:"characteristic-based factor model"

Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns

Connor, Gregory; Linton, Oliver - Suntory and Toyota International Centres for Economics … - 2006

Semiparametric Estimation of a Characteristic-based Factor Model of Common Stock Returns Gregory Connor … those of Fama and French. JEL codes: G12, C14. Keywords: characteristic-based factor model, arbitrage pricing theory … characteristic-based factor model in which the factor betas are smooth functions of a small number of characteristics. The model can …

Persistent link: https://www.econbiz.de/10005670802

Semiparametric estimation of a characteristic-based factor model of common stock returns

Connor, Gregory; Linton, Oliver - London School of Economics (LSE) - 2006

We introduce an alternative version of the Fama-French three-factor model of stock returns together with a new estimation methodology. We assume that the factor betas in the model are smooth nonlinear functions of observed security characteristics. We develop an estimation procedure that...

Persistent link: https://www.econbiz.de/10010884698