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• W3123312084 abstract "Abstract: We show in a theoretical model that the expected excess return on any asset depends on its covariance not only with the market portfolio, but also with changes in the representative agent's estimate. We test our model using GMM and compare it to the CAPM. The results suggest that adding an ‘estimation factor’ to the CAPM helps explain cross‐sectional returns and that, unconditionally, this estimation factor carries a negative risk premium." @default.
• W3123312084 created "2021-02-01" @default.
• W3123312084 creator A5025840813 @default.
• W3123312084 date "2009-06-01" @default.
• W3123312084 modified "2023-09-24" @default.
• W3123312084 title "Can An ‘Estimation Factor’ Help Explain Cross-Sectional Returns?" @default.
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• W3123312084 doi "https://doi.org/10.1111/j.1468-5957.2009.02131.x" @default.
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