English, Article, Journal or magazine article edition: Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns Oliver Linton; Gregory Connor

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Bookmark: http://trove.nla.gov.au/version/44719
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns
Author
  • Oliver Linton
  • Gregory Connor
Physical Description
  • preprint
Notes
  • This paper develops a new estimation procedure for characteristic-based factor models of stock returns. It describes a factor model in which the factor betas are smooth nonlinear functions of observed security characteristics. It develops an estimation procedure that combines nonparametric kernel methods for constructing mimicking portfolios with parametric nonlinear regression to estimate factor returns and factor betas. Factor models are estimated for UK and US common stocks using book-to-price ratio, market capitalizations, and dividend yield.
  • RePEc:fmg:fmgdps:dp346
Language
  • English
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