| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3677 |
| 来源ID | Working Paper 3677 |
| Notes on Dynamic Factor Pricing Models | |
| Bruce N. Lehmann | |
| 发表日期 | 1991-04-01 |
| 出版年 | 1991 |
| 语种 | 英语 |
| 摘要 | These notes discuss three aspects of dynamic factor pricing (i.e., APT) models. The first one is that diversifiable idiosyncratic risk is unpredictable in a no-arbitrage world. The second feature is that the conditional factor loadings or betas on the common factors are approximately constant when returns follow an unconditional factor structure. The third topic concerns the estimation of dynamic factor pricing models in large cross-sections when returns follow an unconditional factor structure. These results aid in the interpretation of existing applications and identify some of the issues in the formulation and estimation of dynamic factor pricing models. |
| 主题 | Financial Economics ; Macroeconomics |
| URL | https://www.nber.org/papers/w3677 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560988 |
| 推荐引用方式 GB/T 7714 | Bruce N. Lehmann. Notes on Dynamic Factor Pricing Models. 1991. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w3677.pdf（249KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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