Robust Testing of Risk Premia
The article introduces new tests for risk premia in linear factor models that are robust to small sample sizes and weak identification of risk premia, and revisits two empirical applications to show differences from traditional tests.
Featured in No. 39 on 6 Mar 2024 ·
- Released
- 5 Feb 2023
- First featured
- No. 39 · 6 Mar 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 11
- Identifier
- RePEc:oup:jfinec:v:21:y:2023:i:2:p:263-297.
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