Du, Ding; Ng, Pin; Zhao, Xiaobing - In: Review of Quantitative Finance and Accounting 41 (2013) 3, pp. 549-566
In this paper, we explore an alternative explanation of the exposure puzzle, the missing variable bias in previous studies. We propose to correct the bias with the quantile regression technique invented by Koenker and Bassett (Econometrica 46:33–51, <CitationRef CitationID="CR30">1978</CitationRef>). Empirically, as soon as we take into...</citationref>
