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Pricing model performance and the two-pass cross-sectional regression methodology
Kan, Raymond; Robotti, Cesare; Shanken, Jay - 2009
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...
Persistent link: https://www.econbiz.de/10003818202
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Pricing model performance and the two-pass cross-sectional regression methodology
Kan, Raymond; Robotti, Cesare; Shanken, Jay - 2009
Persistent link: https://www.econbiz.de/10003852918
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Pricing model performance and the two-pass cross-sectional regression methodology
Kan, Raymond; Robotti, Cesare; Shanken, Jay - In: The journal of finance : the journal of the American … 68 (2013) 6, pp. 2617-2649
Persistent link: https://www.econbiz.de/10010237376
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Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
Kan, Raymond - 2010
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...
Persistent link: https://www.econbiz.de/10013152564
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Using stocks or portfolios in tests of factor models
Ang, Andrew; Liu, Jun; Schwarz, Krista - 2010 - This Version: 7 September, 2010
Persistent link: https://www.econbiz.de/10009355426
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Resurrecting the (C)CAPM : a cross-sectional test when risk premia are time-varying
Lettau, Martin; Ludvigson, Sydney C. - In: Journal of political economy 109 (2001) 6, pp. 1238-1287
Persistent link: https://www.econbiz.de/10001631589
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Resurrecting the (C)CAPM : a cross-sectional test when risk premia are time-varying
Lettau, Martin; Ludvigson, Sydney C. - 1999
Persistent link: https://www.econbiz.de/10001445447
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Using stocks or portfolios in tests of factor models
Ang, Andrew; Liu, Jun; Schwarz, Krista - 2016 - This version: October 20, 2016
Persistent link: https://www.econbiz.de/10011843846
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Cross-sectional factor dynamics and momentum returns
Avramov, Doron; Hore, Satadru - In: Journal of financial markets 32 (2017), pp. 69-96
Persistent link: https://www.econbiz.de/10011814969
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Validating intra-day risk premium in cross-sectional return curves
Zhao, Yuqian - In: Finance research letters 43 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10014633505