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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

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

Can an "estimation factor" help explain cross-sectional returns?

Lundtofte, Frederik - In: Journal of business finance & accounting : JBFA 36 (2009) 5/6, pp. 705-724

Persistent link: https://www.econbiz.de/10003881152

Unternehmensbewertung mit zukunftsorientierten Eigenkapitalkostensätzen : Möglichkeiten und Grenzen der Schätzung von Eigenkapitalkostensätzen ohne Verwendung historischer Renditen...

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Persistent link: https://www.econbiz.de/10003480590

A note on the coefficient of determination in regression models with infinite-variance variables

Kurz-Kim, Jeong-Ryeol (contributor); … - 2007

Since Mandelbrot's seminal work (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical results on...