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Resurrecting the (C)CAPM : a cross-sectional test when risk premia are time-varying

Lettau, Martin; Ludvigson, Sydney C. - 1999

Persistent link: https://www.econbiz.de/10001445447

What does the cross-section tell about itself? : explaining equity risk premia with stock return moments

Cooper, Ilan; Ma, Liang; Maio, Paulo - In: Journal of money, credit and banking : JMCB 54 (2022) 1, pp. 73-118

Persistent link: https://www.econbiz.de/10012819566

Validating intra-day risk premium in cross-sectional return curves

Zhao, Yuqian - In: Finance research letters 43 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10014633505

Risk Premium Estimation with Multicollinear and Invariant Betas by the Two-Pass Cross-Sectional Regressions

Ahn, Seung C. - 2011

This paper analyzes the finite-sample performance of the two-pass (TP) estimators of factor risk prices when betas have high cross-sectional correlations (Multicollinear) and when betas have small cross-sectional variations (Invariant). Our Monte Carlo simulations, calibrated using actual...

Persistent link: https://www.econbiz.de/10013133797

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

Kan, Raymond - 2010

Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...

Persistent link: https://www.econbiz.de/10013152564