This chapter surveys recent econometric methodologies for inference in large dimensional
conditional factor models in finance. Changes in the business cycle and asset …

Using nonparametric techniques, we develop a methodology for estimating and testing
conditional alphas and betas and long-run alphas and betas, which are the averages of …

We propose a new approach for estimating expected returns on individual stocks from a
large number of firm characteristics. We treat expected returns as latent variables and apply …

This paper shows empirically how asset risk and financial leverage interact to explain the
equity risk dynamics of value versus growth stocks. During economic downturns, the asset …

Unconditional alphas are biased when conditional beta covaries with the market risk
premium (market timing) or volatility (volatility timing). We demonstrate an additional bias …

This article focuses on testing for the presence of alpha in time-varying factor pricing models,
specifically when the number of securities N is larger than the time dimension of the return …

We characterize linkages between average returns calculated at different horizons.
Theoretically, when stocks incorporate information slowly, average short-horizon returns are …

Modeling and detecting parameter stability of econometric models is a long standing
problem. Most existing estimation and testing methods are designed for models without …

Investors' behavior and news or events occurring during the market closure affect open price
variation. For these reasons, daytime and overnight returns and volatilities move differently …

We propose a model-free test for structural changes in factor models. The basic idea is to
regress the data on commonly estimated factors by local smoothing and compare the fitted …