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- W2920245840 abstract "In this paper, we propose a two-level factor model with time-varying loadings to investigate the dynamics of factor betas in the cross-section of returns of a large portfolio of 1815 firms from 54 countries over the period 2006-2016. The model contains a global observed financial factor and unobserved global and regional factors consistently estimated via principal component. When unexpected events happen globally, loadings on global factors increase. The dynamics of the global factor loadings is related to the profile of the firm. Loadings persistence is decreasing in firm size and expected returns are increasing in the variance of the loading." @default.
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- W2920245840 date "2018-01-01" @default.
- W2920245840 modified "2023-09-23" @default.
- W2920245840 title "The dynamics of factor loadings in the cross-section of returns" @default.
- W2920245840 hasPublicationYear "2018" @default.
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