On the estimation of asset pricing models using univariate betas

DOI10.1016/J.ECONLET.2010.11.004MaRDI QIDQ631271zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• EFFICIENCY GAINS IN BETA‐PRICING MODELS¹
• Pricing errors and estimates of risk premia in factor models
• Identification and inference in two-pass asset pricing models
• Tests of risk premia in linear factor models
• Ex-post risk premia estimation and asset pricing tests using large cross sections: the regression-calibration approach

Cites work

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

Cited in

(11)

• Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
• Evaluation of asset pricing models using two-pass cross-sectional regressions
• Ex-post risk premia estimation and asset pricing tests using large cross sections: the regression-calibration approach
• Tests of risk premia in linear factor models
• Identification and inference in two-pass asset pricing models
• Time varying betas and the unconditional distribution of asset returns
• Residual risk revisited
• Unexplained factors and their effects on second pass \(R\)-squared's
• Filtering Returns for Unspecified Biases in Priors when Testing Asset Pricing Theory
• Pricing errors and estimates of risk premia in factor models
• Assessing misspecified asset pricing models with empirical likelihood estimators

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