Kan, Raymond; Robotti, Cesare; Shanken, Jay - Federal Reserve Bank of Atlanta - 2009
exactly linear in asset betas. This assumption can be a problem in practice since all models are, at best, approximations of … reality and are likely to be subject to a certain degree of misspecification. We propose a general methodology for computing … misspecification-robust asymptotic standard errors of the risk premia estimates. We also derive the asymptotic distribution of the …