This paper derives a multivariate local Whittle estimator for the memory parameter of a possibly long memory process and the fractional cointegration vector robust to low frequency contaminations. This estimator as many other local Whittle based procedures requires a priori knowledge of the...

Researchers and practitioners face many choices when estimating an asset's sensitivities toward risk factors, i.e., betas. We study the effect of different data sampling frequencies, forecast adjustments, and model combinations for beta estimation. Using the entire U.S. stock universe and a...

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...

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...

Researchers and practitioners face many choices when estimating an asset's sensitivities toward risk factors, i.e., betas. Using the entire U.S. stock universe and a sample period of more than 50 years, we find that a historical estimator based on daily return data with an exponential weighting...

We confront prominent asset pricing models with the classical out-of-sample cross-sectional test of Fama and MacBeth (1973). For all models, we uncover three main findings: (i) the intercept coefficients are economically large and highly statistically significant; (ii) the cross-sectional factor...

We conduct a comprehensive comparison of market beta estimation techniques. We study the performance of several historical, time-series model, and option implied estimators for estimating realized market beta. Thereby, we find the hybrid methodology of Buss and Vilkov (2012) to consistently...