Linear Factor Models in Finance

References

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Berk, Jonathan B. (2000). Sorting Out Sorts. Journal of Finance, 55:407 427.

Cochrane, John H. (2001). Asset Pricing. Princeton University Press, Princeton, NJ.

Elfakhani, S., Lockwood, L. J., and Zaher, T. S. (1998). Small Firm and Value Effects in the Canadian Stock Market. Journal of Financial Research, 21(3):277 291.

Fama, E. F. and French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33:3 56.

Fama, E. F. and French, K. R. (1996). Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51:55 85.

Gibbons, M., Ross, S. A., and Shanken, J. (1989). A Test of the Efficiency of a Given Portfolio. Econometrica, 57:1121 1152.

Griffin, J. M. (2001). Are the Fama and French Factors Global or Country-Specific? Review of Financial Studies, 14:215 241.

Hansen, L. P., Heaton, J., and Luttmer, E. G. (1995). Econometric Evaluation of Asset Pricing Models. Review of Financial Studies, Vol. 8, Iss. 2 (Summer):237 274.

Hansen, L. P. and Jagannathan, R. (1991). Implications of Security Market Data for Models of Dynamic Economies. Journal of Political Economy, Vol. 99, Iss. 2 (April):225 262.

Hansen, L. P. and Jagannathan, R. (1997). Assessing Specification Errors in Stochastic Discount Factor Models. Journal of Finance, Vol. 52, Iss. 2 (June):557 590.

Hodrick, R. and Zhang, X. (2001). Evaluating the Specification Errors of the Asset Pricing Models.

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