Cross-Sectionally Correlated Measurement Errors in Two-Pass Regression Tests of Asset-Pricing Models (Q5139535)
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scientific article; zbMATH DE number 7283310
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| English | Cross-Sectionally Correlated Measurement Errors in Two-Pass Regression Tests of Asset-Pricing Models |
scientific article; zbMATH DE number 7283310 |
Statements
Cross-Sectionally Correlated Measurement Errors in Two-Pass Regression Tests of Asset-Pricing Models (English)
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9 December 2020
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asset pricing
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CAPM
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errors in variables
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simulation
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idiosyncratic risk
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two-pass regression
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measurement error
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0.90203685
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0.8606946
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0.8510473
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0.84896916
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0.84757346
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0.8471819
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0.84500074
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0.84479046
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