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Paper / 2022SMQ / 220921618572175
Financial Markets and the Real Economy: A Statistical Field Perspective on Capital Allocation and Accumulation
Aïleen Lotz / Marc Wambst / Pierre Gosselin
financial economicsResource overview

Financial Markets and the Real Economy: A Statistical Field Perspective on Capital Allocation and Accumulation

Paper2022

by Aïleen Lotz, Marc Wambst, Pierre Gosselin

Tags
financial economics

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Suggested foundations for asset pricing and factor research. Specialist prerequisites vary by paper.

Before you read

  1. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  2. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

Go further

  1. Factor construction

    Connect factor definitions to portfolio construction.

  2. Time-series and cross-sectional tests

    Distinguish exposure estimation from tests of expected returns.

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