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The competitions of time-varying and constant loadings in asset pricing models: empirical evidence and agent-based simulations |
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| Authors: | Lin Hung-Wen Huang Jing-Bo Lin Kun-Ben Chen Shu-Heng |
| Affiliation: | 1.Department of Finance, Nanfang College Guangzhou, Guangzhou, China ;2.Lingnan College, Sun Yat-Sen University, Guangzhou, China ;3.Center for Energy and Environmental Policy Research, Beijing Institute of Technology, Beijing, China ;4.Department of Economics, National Chengchi University, Taipei, Taiwan, ROC ; |
| Abstract: | Journal of Economic Interaction and Coordination - Under two frameworks of cross-section and time-series factors, we implement asset pricing models to dissect the abnormal returns in the Chinese... |
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