Innstrasse 27
Passau, 94030
Germany
University of Passau
asset pricing anomalies, risk factors, mutual fund performance, idiosyncratic risk, liquidity
conditional multifactor model, risk factor timing, liquidity, idiosyncratic risk, mutual funds, hedge funds, Kalman filter
liquidity, commonality in liquidity, stochastic discount factor, Generalized Method of Moments, financial crisis