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Essays in empirical asset pricing

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Academic year: 2021

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Figure 1.1 shows the evolution of the covariances between the default spread and the returns of 6 Fama-French portfolios sorted on size and book-to-market
Figure 1.1: 60 days covariances between 6 Fama-French portfolio returns and the default spread
Figure 1.2: Correlations between the principal components and some empirical factors (a) First principal component (b) Second principal component
Table 1.2: Probability of being useless according to the number of days in each period
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