Two-pass estimation of risk premiums with multicollinear and near-invariant betas

Author:

Ahn Seung C.,Perez M. Fabricio,Gadarowski Christopher

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference19 articles.

1. Two-pass cross-sectional regression of factor pricing models;Ahn;J. Financ. Econom.,2012

2. Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models;Balduzzi;Journal of Business & Economic Statistics,2008

3. The capital asset pricing model: Some empirical tests;Black,1972

4. A new look at the capital asset pricing model;Blume;J. Finance,1973

5. Identification and inference in linear stochastic discount factor models;Burnside,2010

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2. The CAPM, National Stock Market Betas, and Macroeconomic Covariates: a Global Analysis;Open Economies Review;2020-03-12

3. Testing Beta-Pricing Models Using Large Cross-Sections;The Review of Financial Studies;2019-07-01

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5. Common Factors in Equity Option Returns;SSRN Electronic Journal;2018

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