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.risk premia ; cross-sectional asset pricing ; REE Models

Mark Seasholes

Patrice Fontaine

Radu Burlacu

Sonia Jimenez-Garcès

Czech

Research Papers in Economics

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Risk and the cross-Section of stock returns

http://halshs.archives-ouvertes.fr/docs/00/53/30/68/PDF/cr_2009_05_E2.pdf

Risk and the cross-Section of stock returns

Abstract

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Research Papers in Economics