Identification Robust Testing of Risk Premia in Finite Samples
نویسندگان
چکیده
Abstract The reliability of tests on the risk premia in linear factor models is threatened by limited sample sizes and weak identification frequently encountered applied work. We, therefore, propose novel that are robust to both strength as reflected quality factors. These appealing for empirically relevant settings, lead confidence sets can substantially differ from conventional ones. To show latter, we revisit two high-profile empirical applications.
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ژورنال
عنوان ژورنال: Journal of Financial Econometrics
سال: 2022
ISSN: ['1479-8409', '1479-8417']
DOI: https://doi.org/10.1093/jjfinec/nbac010