Ahn, Seung C.; Perez, M. Fabricio; Gadarowski, Christopher - In: Journal of Empirical Finance 20 (2013) C, pp. 1-17
This paper investigates the reliability of the two-pass (TP) estimators of factor risk prices when betas (multifactor loadings) have high levels of cross-sectional correlation (multicollinearity) and/or when some of them have small cross-sectional variations (near-invariance). Our simulation...