Testing Pricing Errors of Models with Latent Factors and Firm Characteristics as Covariances
Published Online:11 May 2023https://doi.org/10.1287/mnsc.2023.4768
Supplemental Material
The replication files for this article are available HERE.
Volume 70, Issue 3
March 2024
Pages 1343-2022, iii-iv
Article Information
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- Received:August 03, 2021
- Accepted:October 09, 2022
- Published Online:May 11, 2023
Copyright © 2023, INFORMS
Cite as
Chu Zhang (2023) Testing Pricing Errors of Models with Latent Factors and Firm Characteristics as Covariances. Management Science 70(3):1706-1728.
https://doi.org/10.1287/mnsc.2023.4768
Keywords
The author thanks three anonymous referees, the department editor, and the associate editor for their advice which substantially improved the paper. The author thanks Raymond Kan, Andrew Karolyi, Seth Pruitt, and Guofu Zhou for their helpful comments on the earlier versions. Yirong Luo and Zhiwen (Ryan) Zhuang provided excellent assistance. All remaining errors are mine.
