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An Econometric Analysis of Linear Factor Models using Large Dimensional Datasets of Individual Assets

Persone

Responsabili

Ossola E.

(Responsabile)

Abstract

I propose a research project to develop an econometric framework and methodology for the analysis of large-scale datasets of individual assets. I address unresolved issues in factor analysis that are relevant for empirical research in Finance. I work in a general class of linear models with observable as well as latent systematic risk factors. In particular, I focus on two open issues: testing for misspecification of approximate factor models, and the identification of systematic risk factors of individual assets. I develop estimation and inference methodologies that are feasible for datasets with large cross-sectional and time dimensions. I consider a large number of individual stocks as base assets, and I account for the unbalanced characteristic of these panels of data. I develop two empirical applications based on returns for about ten thousands US stocks from July 1964 to December 2012.

Informazioni aggiuntive

Data d'inizio
01.02.2014
Data di fine
01.02.2015
Durata
12 Mesi
Enti finanziatori
Stato
Concluso