Economics, Econometrics and Finance
4 years ago

New method for estimating asset pricing models could reshape financial markets.

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RePEc: Research Papers in Economics
A note on the estimation of asset pricing models using simple regression betas
Raymond Kan, Cesare Robotti

Paper Summary

The article discusses how to estimate asset pricing models using simple regression betas. The researchers focus on a popular method called two-pass cross-sectional regression. They found that using different standard errors can lead to different conclusions when testing if the risk of a factor is priced.

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