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Search: subject:"Fama–MacBeth"
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CAPM
43
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Crump, Richard K.
8
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7
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4
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4
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3
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3
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3
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3
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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1
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1
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ECONIS (ZBW)
62
RePEc
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9
Other ZBW resources
3
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1
Forward selection
Fama-MacBeth
regression with higher-order asset pricing factors
Borri, Nicola
;
Četverikov, Denis N.
;
Liu, Yukun
; …
-
2025
Persistent link: https://www.econbiz.de/10015417540
Saved in:
2
Beta-sorted portfolios
Cattaneo, Matias D.
;
Crump, Richard K.
;
Wang, Weining
-
2024
depends critically on the object of interest and discuss shortcomings of the widely-used
Fama-MacBeth
variance estimator. To …
Persistent link: https://www.econbiz.de/10015124982
Saved in:
3
ESG risk exposure : a tale of two tails
Yang, Runfeng
;
Caporin, Massimiliano
;
Jiménez-Martin, …
- In:
Quantitative finance
24
(
2024
)
6
,
pp. 827-849
Persistent link: https://www.econbiz.de/10015050799
Saved in:
4
Beta-sorted portfolios
Cattaneo, Matias D.
;
Crump, Richard K.
;
Wang, Weining
-
2024
depends critically on the object of interest and discuss shortcomings of the widely-used
Fama-MacBeth
variance estimator. To …
Persistent link: https://www.econbiz.de/10015123509
Saved in:
5
Explaining and forecasting abnormal returns and volume by investor sentiment indicators
Lis, Szymon
;
Slepaczuk, Robert
;
Sakowski, Paweł
-
2024
Persistent link: https://www.econbiz.de/10015372745
Saved in:
6
A new salient factor and equity returns : empirical evidence from A-Shares
Zhou, Hailin
;
Hu, Zhangzhi
;
Wu, Xinyu
- In:
Applied economics letters
32
(
2025
)
2
,
pp. 286-294
Persistent link: https://www.econbiz.de/10015195293
Saved in:
7
Does ESG explain stock returns? : evidence from Chinese stock markets
Shang, Zili
;
Yu, Bo
;
Lam, Keith
- In:
Finance research letters
79
(
2025
),
pp. 1-11
Persistent link: https://www.econbiz.de/10015419319
Saved in:
8
Setting statistical hurdles for publishing in accounting
Teoh, Siew Hong
;
Zhang, Yinglei
- In:
Accounting, Economics, and Law : AEL ; a convivium
15
(
2025
)
1
,
pp. 141-154
Persistent link: https://www.econbiz.de/10015435859
Saved in:
9
Hierarchical time-varying estimation of asset pricing models
Baillie, Richard
;
Calonaci, Fabio
;
Kapetanios, George
- In:
Journal of Risk and Financial Management
15
(
2022
)
1
,
pp. 1-26
approach is loosely based on the sequential
Fama-MacBeth
approach and developed in a kernel regression framework. However, the …
Persistent link: https://www.econbiz.de/10013201318
Saved in:
10
Hierarchical time-varying estimation of asset pricing models
Baillie, Richard
;
Calonaci, Fabio
;
Kapetanios, George
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
1
,
pp. 1-26
approach is loosely based on the sequential
Fama–MacBeth
approach and developed in a kernel regression framework. However, the …
Persistent link: https://www.econbiz.de/10012813375
Saved in:
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