University of Bath

Testing Beta-Pricing Models Using Large Cross-Sections

This seminar is presented by Professor Zaffaroni from Imperial College (London)

11 Oct 20174.15pm
11 Oct 20176.05pm

Professor Paolo Zaffaroni will present a limiting theory for estimating and testing linear beta-pricing models when a very large number of assets is available together with a fixed, possibly very small, time-series dimension, applicable to both traded and non-traded factors.