Journal of Financial and Quantitative Analysis Vol. 32 No. 2 1997

Performance Attribution using an APT with Prespecified Macrofactors and Time-Varying Risk Premia and Betas

Lawrence Kryzanowski¹; Simon Lalancette²; Minh Chau To³

¹ Concordia University · ² Université du Québec à Montréal · ³ HEC Montréal

Abstract

Lawrence Kryzanowski, Simon Lalancette, Minh Chau To, Performance Attribution using an APT with Prespecified Macrofactors and Time-Varying Risk Premia and Betas, The Journal of Financial and Quantitative Analysis, Vol. 32, No. 2 (Jun., 1997), pp. 205-224

DOI

10.2307/2331173

Volume

32

Issue

2

Pages

205

Sources

crossref openalex

Cite

APA 7 MLA 9 Chicago (author–date) Harvard Elsevier Harvard (JFE, JBF…) The Accounting Review Academy of Management American Marketing Association INFORMS (Management Science) Copy citation Copied ✓