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Spurious inference in reduced-rank asset-pricing models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 5, pp. 1613-1628
Persistent link: https://www.econbiz.de/10011791596
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The exact distribution of the Hansen-Jagannathan bound
Kan, Raymond; Robotti, Cesare - In: Management science : journal of the Institute for … 62 (2016) 7, pp. 1915-1943
Persistent link: https://www.econbiz.de/10011518611
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Spurious inference in unidentified asset-pricing models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2014
This paper studies some seemingly anomalous results that arise in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments (GMM). Strikingly, when useless factors (that is, factors that are independent of the...
Persistent link: https://www.econbiz.de/10010395978
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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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The news in financial asset returns
Dwyer, Gerald P. <jun.>; Robotti, Cesare - In: Economic review 89 (2004) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10002034872
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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
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Specification tests of asset pricing models using excess returns
Kan, Raymond; Robotti, Cesare - In: Journal of empirical finance 15 (2008) 5, pp. 816-838
Persistent link: https://www.econbiz.de/10003776354
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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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Model comparison using the Hansen-Jagannathan distance
Kan, Raymond; Robotti, Cesare - In: The review of financial studies 22 (2009) 9, pp. 3449-3490
Persistent link: https://www.econbiz.de/10003885706
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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