Forecasting Reurns to Pure Factors: A Study of Time Varying Risk Premia
I find evidence of predictability in out-of-sample data for four risk premia using simple econometric models. Two factor return models are used, an APT model and the Wilshire Atlas. I demonstrate that investors can exploit conditioning information to manage their exposures to risk factors. The resu...
| Main Author: | |
|---|---|
| Format: | Others |
| Published: |
Digital Archive @ GSU
2006
|
| Subjects: | |
| Online Access: | http://digitalarchive.gsu.edu/finance_diss/4 http://digitalarchive.gsu.edu/cgi/viewcontent.cgi?article=1003&context=finance_diss |