Kan, Raymond; Robotti, Cesare - In: Economics Letters 110 (2011) 2, pp. 117-121
We derive asymptotic standard errors of risk premia estimates based on the popular two-pass cross-sectional regression methodology developed by Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973) when univariate betas are used as regressors. Our standard errors are robust to model...