This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to identify the more appropriate benchmarks for the analysed fund return. Then, we compute...

In this paper, our aim is to shed a new light on the analysis of REITs in the presence of time-varying exposures and errors-in-variables (EIV). From different multi-factor asset pricing models including the standard Fama-French-Carhart asset pricing model and the Pastor and Stambaugh model, we...

In this article our main objective is to study simultaneously the influence of three important risk factors on asset returns, namely the return on financial market (proxy for financial wealth), the consumption growth and the return on real estate wealth. The third factor has been surprisingly...

A very promising literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. The main problem encountered to measure volatility dynamics of high-frequency intra-daily data lies in the irregularity at which observations arrive. Engle and Russell (1998) have proposed a...

We analyze earnings forecasting errors made by financial analysts for 18 European countries over the 1995-2006 period. We use the Heston-Rouwenhorst approach to unravel country-, industry-, and firm-specific effects as a source of variation in financial analysts' earnings forecast errors. We...