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Underspecification of the empirical return-factor model and a factor analytic augmentation as a solution to factor omission
Szczygielski, Jan Jakub
;
Brummer, L.M., 1940-
;
Wolmarans, Hendrik Petrus
(
Taylor and Francis
,
2020
)
Are macroeconomic factors adequate proxies for systematic influences in stock returns? A South African perspective
Szczygielski, Jan Jakub
;
Brummer, L.M., 1940-
;
Wolmarans, Hendrik Petrus
;
Zaremba, Adam
(
Routledge
,
2020
)
An augmented macroeconomic linear factor model of South African industrial sector returns
Szczygielski, Jan Jakub
;
Brummer, L.M., 1940-
;
Wolmarans, Hendrik Petrus
(
Emerald
,
2020-11
)
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Author
Brummer, L.M., 1940- (3)
Szczygielski, Jan Jakub (3)
Wolmarans, Hendrik Petrus (3)
Zaremba, Adam (1)
Subject
Linear factor model (2)
Macroeconomic factors (2)
Underspecification (2)
Empirical finance (1)
Factor models (1)
Factor omission (1)
Factor scores (1)
Global factors (1)
Industrial sector return (1)
Model estimation and interpretation (1)
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Date Issued
2020 (3)
Has File(s)
true (3)