3. Estimate the factor premium from a panel regression of the stock return on the factor exposure...

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3. Estimate the factor premium from a panel regression of the stock return on the factor exposure using either the OLS, MAD, or the GLS method.

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Quantitative Equity Portfolio Management

ISBN: 9780071459396

1st Edition

Authors: Ludwig B Chincarini, Daehwan Kim

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Question Posted: Oct 24, 2024 07:03 AM

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3. Estimate the factor premium from a panel regression of the stock return on the factor exposure using either the OLS, MAD, or the GLS method.
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2. Collect stock-return and factor-exposure data for the time period at each time interval.
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3. Estimate the factor premium from a panel regression of the stock return on the factor exposure...

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Quantitative Equity Portfolio Management

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