Two-pass estimation of risk premiums with multicollinear and near-invariant betas
Year of publication: |
2013
|
---|---|
Authors: | Ahn, Seung Chan ; Perez, M. Fabricio ; Gadarowski, Christopher |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 20.2013, p. 1-17
|
Subject: | Two-pass | Fama-MacBeth | Cross-sectional regressions | Linear factor model | Risk premium | Risikoprämie |
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