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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
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Efficient bias robust regression for time series factor models
Martin, R. Douglas; Xia, Daniel Z. - In: The journal of asset management : a major new, … 23 (2022) 3, pp. 215-234
Persistent link: https://www.econbiz.de/10013199106
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Measuring skewness premia
Langlois, Hugues - In: Journal of financial economics 135 (2020) 2, pp. 399-424
Persistent link: https://www.econbiz.de/10012543092
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The non-linear trade-off between return and risk and its determinants
Cotter, John; Salvador, Enrique - 2022
Persistent link: https://www.econbiz.de/10013184750
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The non-linear trade-off between return and risk and its determinants
Cotter, John; Salvador, Enrique - In: Journal of empirical finance 67 (2022), pp. 100-132
Persistent link: https://www.econbiz.de/10013464378
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The impact of analyst-investor disagreement on the cross-section of implied cost of capital
Makrominas, Michalis - In: Australian journal of management 40 (2015) 2, pp. 224-244
Persistent link: https://www.econbiz.de/10011342894
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A fundamental misunderstanding of risk : the bias associated with the annualized calculation of standard deviation
Burkett, Matthew W.; Scherer, William T. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7
present a new example illustrating the bias when applied to an efficient frontier. …
Persistent link: https://www.econbiz.de/10013179703
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A cross-sectional asset pricing test with more power : an instrumental variable approach
Hur, Jungshik - 2024
Persistent link: https://www.econbiz.de/10015050153
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A literature review of new methods in empirical asset pricing : omitted-variable and errors-in-variable bias
Collot, Solène; Hemauer, Tobias - In: Financial markets and portfolio management 35 (2021) 1, pp. 77-100
Persistent link: https://www.econbiz.de/10012495901
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"Shrinking size premia at the London Stock Exchange"
Becchetti, Leonardo; Cavallo, Laura - In: Research in banking and finance 2 (2002), pp. 265-298
Persistent link: https://www.econbiz.de/10001684694