Risk and the cross-Section of stock returns

Radu Burlacu (), Patrice Fontaine, Sonia Jimenez-Garcès () and Mark Seasholes
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Radu Burlacu: CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique
Patrice Fontaine: CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique
Sonia Jimenez-Garcès: COACTIS - COnception de l'ACTIon en Situation - UL2 - Université Lumière - Lyon 2 - UJM - Université Jean Monnet - Saint-Étienne
Mark Seasholes: HKUST - Hong Kong University of Science and Technology

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Abstract: We derive a proxy for expected returns from a noisy multi-asset rational expectations equilibrium model. a goal/contribution of this paper is to use the same proxy for the theorical, numerical, and empirical analyses.

Keywords: risk premia; cross-sectional asset pricing; REE Models (search for similar items in EconPapers)
Date: 2009
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00533068v1
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Published in 2009, 43p

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00533068

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