Unexplained factors and their effects on second pass \(R\)-squared's (Q496150)
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scientific article; zbMATH DE number 6483274
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| English | Unexplained factors and their effects on second pass \(R\)-squared's |
scientific article; zbMATH DE number 6483274 |
Statements
Unexplained factors and their effects on second pass \(R\)-squared's (English)
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18 September 2015
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Fama-MacBeth two pass procedure
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factor pricing
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stochastic discount factors
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weak identification
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(non-standard) large sample distribution
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principal components
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0.732492208480835
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0.7046505808830261
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0.6949059963226318
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0.6947582960128784
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0.6947582960128784
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