Carlos Corona
Role. Tepper School of Business, Carnegie Mellon University. 共同作者 (with Christopher S. Armstrong and Snehal Banerjee), 2013 RFS paper Factor-Loading Uncertainty and Expected Returns. 该论文提出因子载荷不确定性 概念, 解释 firm-specific 不确定性降低期望收益、解释 Ang/Hodrick/Xing/Zhang (2006) 的 IVOL 之谜。
Key contributions
- 因子载荷不确定性 (Factor-Loading Uncertainty): 同 ABC13 共同作者, 详见 Christopher S. Armstrong。
- Cost of capital 实证: 与 Banerjee 合作做实证部分, Fama-MacBeth 截面 + 60 月 rolling SE² 作为 V_{\beta,i} 代理, 验证理论预测的 -0.0490 ~ -0.0646 系数与 400–525 bp 经济量级。
- 持久性调节的实证支持: ABC13 Table 4 "1_HAC" dummy (高持久性 firm) 系数显著正向, 与理论预测一致。
Affiliations
- Tepper School of Business, Carnegie Mellon University — Accounting/Finance group.
Related concepts
- Factor-Loading Uncertainty (因子载荷不确定性)
- Idiosyncratic Volatility Puzzle (特质波动率之谜)
- Learning-Based Stochastic Volatility (学习驱动的随机波动率)
Related entities
- Christopher S. Armstrong — 共作者, Wharton
- Snehal Banerjee — 共作者, Kellogg
- Armstrong, Banerjee & Corona 2013 — Factor-Loading Uncertainty — 论文 entity
Sources
- summaries/201301-factor-loading-uncertainty/201301-factor-loading-uncertainty — (2026-08-12) 摘要
- Armstrong, Banerjee & Corona (2013, RFS 26(1) 159-198) · doi:10.1093/rfs/hhs102
- snehalbanerjee.github.io/papers/ABC2013.pdf (作者主页托管)