학회소식
[2017년 제 2차] A Proposal About a New Approach to Asset Pricing Theory: Expected Anomaly Model
작성자 : 관리자
조회수 : 858
게시일 :
2017-05-30
An intergrated economic view of asset pricing models including the pricing kernel nodel, cross-sectional model, time-series model, and expected anomaly model is presented. Several perspectices on the cross-section of experted anpmalies are perposed. Modifications to the expected anomaly model are suggusted. Asymptotic adjustments for errors-in-variables biases are discussed. Finally, an earlier concern against using spread portfolios is resolved.
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