This article proposes semi-parametric least squares estimation of parametric risk-return relationships, i.e. parametric …

which are listed on NYSE. Henceforth CAPM helps to predict the expected return on the assets. This study is using the …

In this paper, we show that conditions derived under the CAPM ensure only weak exogeneity in a linear regression … setting. Since strong exogeneity is not guaranteed, the OLS estimator of CAPM beta is only consistent but not necessarily … strong exogeneity conditions. As such, the OLS estimator of CAPM beta is likely biased. Based on the empirical patterns of …

We conduct a comprehensive comparison of market beta estimation techniques. We study the performance of several …

literature of condition CAPM …

covariance structure of residual terms generated by the CAPM model of Sharpe (1964), Lintner (1965), and Mossin (1966) as well as …-factor models generally produce almost no discernible covariance of residual terms and do allow for the estimation of individual …

strength matter for consistent estimation of risk premia and subsequent inference, thus an estimate of factor strength is …