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Homeen-gbThe informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measuresThe authors examine 10-K and 10-Q filings for risk factor disclosures and investigate if these disclosures can be used to improve estimations of the covariance matrix of stock returns.
https://www.risk.net/journal-of-risk/7957135/the-informativeness-of-risk-factor-disclosures-estimating-the-covariance-matrix-of-stock-returns-using-similarity-measures
https://www.risk.net/journal-of-risk/7957135/the-informativeness-of-risk-factor-disclosures-estimating-the-covariance-matrix-of-stock-returns-using-similarity-measures
Tue, 04 Jul 2023 14:49:05 +0100