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findings. Finally, we undertake an empirical investigation of α for the errors of the CAPM model and its Fama-French extensions …
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We propose an estimation methodology for a semiparametric quantile factor panel model. We provide tools for inference that are robust to the existence of moments and to the form of weak cross-sectional dependence in the idiosyncratic error term. We apply our method to CRSP daily data.
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