We develop a practical way of addressing the Errors-In-Variables (EIV) problem in the Generalized Method of Moments (GMM) framework. We focus on the settings in which the variability of the EIV is a fraction of that of the mismeasured variables, which is typical for empirical applications. For...

Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their econometric properties in contrast to...

Betas from return regressions are commonly used to measure systematic financial market risks. "Good" beta measurements are essential for a range of empirical inquiries in finance and macroeconomics. We introduce a novel econometric framework for the nonparametric estimation of time-varying betas...

Using the capital asset pricing model, this article critically assesses the relative importance of computing 'realized' betas from high-frequency returns for Bitcoin and Ethereum-the two major cryptocurrencies-against their classic counterparts using the 1-day and 5-day return-based betas. The...