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An Empirical Test of Pricing Kernel Monotonicity (replication data)
A large class of asset pricing models predicts that securities which have high payoffs when market returns are low tend to be more valuable than those with high payoffs when... -
Panel Data Models with Grouped Factor Structure Under Unknown Group Membershi...
This paper studies panel data models with unobserved group factor structures. The group membership of each unit and the number of groups are left unspecified. We estimate the...
