The bias in two-pass regression tests of asset-pricing models in presence of idiosyncratic errors with cross-sectional dependence
Year of publication: |
2019
|
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Authors: | Gramespacher, Thomas ; Bänziger, Armin |
Published in: |
Review of Pacific Basin financial markets and policies. - Hackensack, NJ [u.a.] : World Scientific, ISSN 0219-0915, ZDB-ID 1465471-4. - Vol. 22.2019, 2, p. 1950012-1-1950012-17
|
Subject: | Asset pricing | errors in variables | simulation | idiosyncratic risk | two-pass regression | CAPM | Regressionsanalyse | Regression analysis | Simulation | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Systematischer Fehler | Bias | Statistischer Fehler | Statistical error | Risiko | Risk | Risikoprämie | Risk premium |
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