Pricing model performance and the two-pass cross-sectional regression methodology
Year of publication: |
2009
|
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Authors: | Kan, Raymond ; Robotti, Cesare ; Shanken, Jay |
Publisher: |
Atlanta, GA : Federal Reserve Bank of Atlanta |
Subject: | Capital Asset Pricing Model | Querschnittsanalyse | Risikoprämie | Schätztheorie | two-pass cross-sectional regressions | risk premia | model misspecification | model comparison | R2 |
Series: | Working Paper ; 2009-11 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 595211410 [GVK] hdl:10419/70693 [Handle] |
Classification: | G12 - Asset Pricing |
Source: |
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