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Separating equilibria, under-pricing and security design
Bernhardt, Dan / Koufopoulos, Kostas / Trigilia, Giulio
corporate finance / financial economicsResource overview

Separating equilibria, under-pricing and security design

Paper2021

by Bernhardt, Dan, Koufopoulos, Kostas, Trigilia, Giulio

Tags
corporate financefinancial 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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