FinanceandEconomicsDiscussionSeriesFederalReserveBoard,Washington,D.C.ISSN1936-2854(Print)ISSN2767-3898(Online)LinearFactorModelsandtheEstimationofExpectedReturnsCisilSarisoy,PeterdeGoeij,andBasJ.M.Werker2024-014Pleasecitethispaperas:Sarisoy,Cisil,PeterdeGoeij,andBasJ.M.Werker(2024).“LinearFactorMod-elsandtheEstimationofExpectedReturns,”FinanceandEconomicsDiscussionSe-ries2024-014.Washington:BoardofGovernorsoftheFederalReserveSystem,https://doi.org/10.17016/FEDS.2024.014.NOTE:StaffworkingpapersintheFinanceandEconomicsDiscussionSeries(FEDS)arepreliminarymaterialscirculatedtostimulatediscussionandcriticalcomment.TheanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchstaffortheBoardofGovernors.ReferencesinpublicationstotheFinanceandEconomicsDiscussionSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthesepapers.LinearFactorModelsandtheEstimationofExpectedReturnsCisilSarisoy∗FederalReserveBoardPeterdeGoeijTilburgUniversityBasJ.M.WerkerTilburgUniversityJanuary2024AbstractThispaperanalyzesthepropertiesofexpectedreturnestimatorsonindividualassetsimpliedbythelinearfactormodelsofassetpricing,i.e.,theproductofβandλ.Weprovidetheasymptoticpropertiesoffactor–model–basedexpectedreturnestimators,whichyieldthestandarderror...
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