On the estimation of asset pricing models using univariate betas

DOI10.1016/J.ECONLET.2010.11.004zbMATH Open1210.91100OpenAlexW3122842425MaRDI QIDQ631271FDOQ631271

Authors: Raymond Kan, Cesare Robotti 

Publication date: 22 March 2011

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2010.11.004

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zbMATH Keywords

model misspecificationrisk premiaasset pricing modelsunivariate betas

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70)

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Estimation of Moment Parameter in Elliptical Distributions
• Common risk factors in the returns on stocks and bonds

Cited In (5)

• Evaluation of asset pricing models using two-pass cross-sectional regressions
• Time varying betas and the unconditional distribution of asset returns
• Residual risk revisited
• Filtering Returns for Unspecified Biases in Priors when Testing Asset Pricing Theory
• Pricing errors and estimates of risk premia in factor models

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