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Asset returns and economic risk
Robotti, Cesare - In: Economic review 87 (2002) 2, pp. 13-25
Persistent link: https://www.econbiz.de/10001697024
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The price of inflation and foreign exchange risk in international equity markets
Robotti, Cesare - 2001
Persistent link: https://www.econbiz.de/10001638680
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Mimicking portfolios, economic risk premia, and tests of multi-beta models
Balduzzi, Pierluigi; Robotti, Cesare - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 3, pp. 354-368
Persistent link: https://www.econbiz.de/10003754195
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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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A note on the estimation of asset pricing models using simple regression betas
Kan, Raymond; Robotti, Cesare - 2009
Persistent link: https://www.econbiz.de/10003818204
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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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Asset pricing models and economic risk premia : a decomposition
Balduzzi, Pierluigi; Robotti, Cesare - In: Journal of empirical finance 17 (2010) 1, pp. 54-80
Persistent link: https://www.econbiz.de/10003943937
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On the estimation of asset pricing models using univariate betas
Kan, Raymond; Robotti, Cesare - In: Economics letters 110 (2011) 2, pp. 117-121
Persistent link: https://www.econbiz.de/10009241683
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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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Minimum-variance kernels, economic risk premia, and tests of multi-beta models
Balduzzi, Pierluigi; Robotti, Cesare - 2001
Persistent link: https://www.econbiz.de/10001630681