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The bias in two-pass regression tests of asset-pricing models in presence of idiosyncratic errors with cross-sectional dependence

Gramespacher, Thomas; Bänziger, Armin - In: Review of Pacific Basin financial markets and policies 22 (2019) 2, pp. 1950012-1-1950012-17

Persistent link: https://www.econbiz.de/10012139945

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Properly estimating risk in emerging markets : a comparison of beta adjustment techniques

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Extreme value estimation of the conditional risk premium in reinsurance

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Are there multiple independent risk anomalies in the cross section of stock returns?

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Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns

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Estimating and testing beta pricing models on industries

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Real Risk or Paper Risk? Mis-Measured Factors, Granular Measurement Errors, and Empirical Asset Pricing Tests

Byun, Sung Je - 2020

risk for the market portfolio is consistent with theory. The granular residual is volatile and less informative about real … activity than our adjusted index, potentially rationalizing lower/zero risk compensation …

Persistent link: https://www.econbiz.de/10012849714

Macro-finance decoupling : robust evaluations of macro asset pricing Models

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Arbitrage pricing theory in ergodic markets

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