6.3. One strength of the fundamental factor model over the economic factor model is that the data...

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6.3. One strength of the fundamental factor model over the economic factor model is that the data requirement is relatively small. What is the minimum data requirement to estimate the fundamental factor model? Is it possible to estimate the fundamental factor model from a single cross section (i.e., the observation of many stocks in one time period)?

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Quantitative Equity Portfolio Management

ISBN: 9780071459396

1st Edition

Authors: Ludwig B Chincarini, Daehwan Kim

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