2019
DOI: 10.1002/jae.2687
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Tests of asset pricing with time‐varying factor loads

Abstract: Summary This paper proposes an empirical asset pricing test based on the homogeneity of the factor risk premia across risky assets. Factor loadings are considered to be dynamic and estimated from data at higher frequencies. The factor risk premia are obtained as estimates from time series regressions applied to each risky asset. We propose Swamy‐type tests robust to the presence of generated regressors and dependence between the pricing errors to assess the homogeneity of the factor risk premia and the zero in… Show more

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References 59 publications
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