Sebastian Stöckl
Sebastian Stöckl
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factor premia
Turbulence in the Cross-Section: Predicting Factor Premia
We show that parameter uncertainty based on the turbulence withing each cross-section of factor portfolios produces a significant out-of-sample forecast for six out of seven tested Fama-French risk factors.
Sebastian Stöckl
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INFINITI 2019
Australasian Finance & Banking 2018
INFINITI Asia-Pacific 2018
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