Banking is a customer oriented service industry and Indian banks have started realizing that business depends on client service and the satisfaction of the customer. This is compelling them to focus on building brand equity that leads to enhancing the customer satisfaction. Some authors suggest...

This paper introduces a new methodology to estimate time‐varying alphas and betas in conditional factor models, which allows substantial flexibility in a time‐varying framework. To circumvent problems associated with the previous approaches, we introduce a Bayesian time‐varying parameter...

Education sector has been identified as a thrust area for growth of the nation with faculty being the major constituent for the dissemination of knowledge. Faculty and their retention have become pertinent for institutions lest they lose them to competitors. The current study has been undertaken...

A factor stochastic volatility model estimates the common component to estimates of the output gap produced by the staff of the Federal Reserve, its time-varying volatility, and time-varying, horizon-specific forecast uncertainty. Output gap estimates are very uncertain, even well after the...

Abstract We introduce a robust regression estimator for time series factor models called the mOpt estimator. This estimator minimizes the maximum bias due to outlier generating distribution deviations from a standard normal errors distribution factor model, and at the same time has a high normal...

We comprehensively investigate the robustness of well-known factor models to altered factor-formation breakpoints. Deviating from the standard 30th and 70th percentile selection, we use an extensive set of anomaly test portfolios to uncover two main findings: First, there is a trade-off between...

We provide novel asymptotic tools for tests of asset pricing models and factor model comparisons when portfolios trade dynamically using lagged information. An Asymptotic Variance Lemma covers most of the tests in the literature that compare maximum squared Sharpe ratios. We develop...

The Fama-French factors are ubiquitous in empirical finance, industry, and law. We find that factor returns differ substantially depending on when the data were downloaded. The effects of these retroactive changes are large. Holding the sample period constant and varying only factor vintages, we...

This paper proposes a comprehensive framework to address uncertainty about the correct factor model. Asset pricing inferences draw on a composite model that integrates over candidate models using posterior probabilities as weights. While the integrated model is weighted against deviations from...