A Comparative Analysis of Ability of Mimicking Portfolios in Representing the Background Factors

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Asgharian, Hossein;
  • Subject: mimicking portfolio; asset pricing; cross-sectional regression approach; time series regression approach
    • jel: jel:G12
    mesheuropmc: education | health care economics and organizations

Our aim is to give a comparative analysis of ability of different factor mimicking portfolios in representing the background factors. Our analysis contains a cross-sectional regression approach, a time-series regression approach and a portfolio approach for constructing... View more
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