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Persistent link: https://www.econbiz.de/10012244829
Building on the Shanken (1992) estimator, we develop a new methodology for estimating and testing beta-pricing models when a large number of assets N is available but the number of time-series observations is small. We show empirically that our large N framework can change substantially common...
Persistent link: https://www.econbiz.de/10012962065