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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

The price of inflation and foreign exchange risk in international equity markets

Robotti, Cesare - 2001

Persistent link: https://www.econbiz.de/10001638680

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

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

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

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

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

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

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

Asset-pricing models and economic risk premia : a decomposition

Balduzzi, Pierluigi (contributor); … - 2005

The risk premia assigned to economic (nontraded) risk factors can be decomposed into three parts: (i) the risk premia on maximum-correlation portfolios mimicking the factors; (ii) (minus) the covariance between the nontraded components of the candidate pricing kernel of a given model and the...

Persistent link: https://www.econbiz.de/10003115603