Dynamic Peer Groups of Arbitrage Characteristics
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Li, Shaoran
Linton, Oliver B
Ge, Shuyi
Abstract
We propose an asset pricing factor model constructed with semi-parametric characteristics based mispricing and factor loading functions. This model captures common movements of stock excess returns and includes a two-layer network of arbitrage returns int
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Keywords
Semiparametric; Peer Groups; Power-enhanced Test
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