Skip to main content
Keyword: arbitrage pricing theory;
2 results found.
Return to Latest Publications
Gregory Connor, Matthias Hagmann and Oliver Linton
This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving ...Read more...
Gregory Connor and Oliver Linton
We introduce an alternative version of the Fama-French three-factor model of stock returns together with a new estimation methodology. We assume that the factor betas in the model are smooth nonlinear functions of observ...Read more...