Search Results - subject:"Two-pass regression"

Liao, Zhipeng; Liu, Yan; Xie, Zhenzhen - In: Management science : journal of the Institute for … 70 (2024) 11, pp. 7911-7942

Persistent link: https://www.econbiz.de/10015145017

A penalized two-pass regression to predict stock returns with time-varying risk premia

Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier - 2021

We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass …

Persistent link: https://www.econbiz.de/10012487589

A penalized two-pass regression to predict stock returns with time-varying risk premia

Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27

Persistent link: https://www.econbiz.de/10014471822

Asset pricing using block-cholesky GARCH and time-varying betas

Grassi, Stefano; Violante, Francesco - 2021

Persistent link: https://www.econbiz.de/10012620745

Asset pricing using Block-Cholesky GARCH and time-varying betas

Grassi, Stefano; Violante, Francesco - 2021

Persistent link: https://www.econbiz.de/10012487978

Asset pricing using Block-Cholesky GARCH and time-varying betas

Grassi, Stefano; Violante, Francesco - 2021

Persistent link: https://www.econbiz.de/10012543884

The bias in two-pass regression tests of asset-pricing models in presence of idiosyncratic errors with cross-sectional dependence

Gramespacher, Thomas; Bänziger, Armin - In: Review of Pacific Basin financial markets and policies 22 (2019) 2, pp. 1950012-1-1950012-17

Persistent link: https://www.econbiz.de/10012139945

The classical approaches to testing the unconditional CAPM : UK evidence

Laura, Mehnaz Roushan; Ul Fahad, Nafiz - In: International journal of economics and finance 9 (2017) 3, pp. 220-232

Persistent link: https://www.econbiz.de/10011642386

A two‐pass model study of the CAPM: evidence from the UK stock market

Hwang, Tienyu; Gao, Simon; Owen, Heather - In: Studies in Economics and Finance 29 (2012) 2, pp. 89-104

Purpose – There has been considerable debate on the linear relationship between systematic risk and return. The purpose of this study is to investigate whether security return can be explained by systematic risk. Design/methodology/approach – This study employs the market model to test the...

Persistent link: https://www.econbiz.de/10015013650

A two-pass model study of the CAPM: evidence from the UK stock market

Hwang, Tienyu; Gao, Simon; Owen, Heather - In: Studies in Economics and Finance 29 (2012) June, pp. 89-104

Persistent link: https://www.econbiz.de/10010551619