Supplement to "Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets"

These supplementary materials provide the derivation of Equations (9)-(12) (Appendix 3), the proofs of technical lemmas used in the paper (Appendix 4), the link of our no-arbitrage pricing restrictions with Chamberlain and Rothschild (1983) results (Appendix 5), the check that the high-level assumptions in the paper hold under block-dependence (Appendix 6), and the results of Monte-Carlo experiments that investigate the finite-sample properties of the estimators and test statistics (Appendix 7).  Finally, we investigate the effects of model misspecification on risk premia estimation and give estimates of the pseudo-true values (Appendix 8).

Supplemental Authors: 
Gagliardini, Patrick - Universita D Svizzera Italiana
OSSOLA, Elisa - Università della Svizzera Italiana
Scaillet, Olivier - Geneva University
Online Appendix