STAT244.Lecture.04 7

STAT244.Lecture.04 7 - K -1 K K ]-1 a -1 a F ( N , T-N-K )...

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Multifactor Pricing Models: I APT(Ross, 1976): R = a + Bf + e ; f is K × 1 vector of commom factors. Absence of arbitrage μ = λ 0 1 + B λ K ; λ 0 — risk-free rate. I Testing: Z t = a + BZ Kt + e t ; H 0 : a = 0 use F = T - N - K N [1 + ˆ
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Unformatted text preview: K -1 K K ]-1 a -1 a F ( N , T-N-K ) I f : Macroeconomic Variables : use Factor Analysis....
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