Macroeconomic risks and characteristic-based factor models

By Kevin Aretz, Söhnke M. Bartram, P. Pope. 2010

115 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4c67b34a0554a5f3a5602c30d5338f70f810e594

Citations in the corpus

• Are extreme returns priced in the stock market? European evidence. (2013, unknown): “Efforts have been made to interpret these factors as fundamental risk factors, making the model consistent with rational asset pricing, see e.g., Aretz, Bartram, and Pope (2010) or Guo, Savickas, Wang, and Yang (2009).”