Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

Over the years, many asset pricing studies have employed the sample cross-sectional regression (CSR) R² as a measure of model performance. We derive the asymptotic distribution of this statistic and develop associated model comparison tests, taking into account the impact of model misspecification o...

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Bibliographic Details
Published in:The Journal of finance (New York) 2013-12, Vol.68 (6), p.2617-2649
Main Authors: KAN, RAYMOND, ROBOTTI, CESARE, SHANKEN, JAY
Format: Article
Language:English
Subjects:
Asset pricing
Assets
Asymptotic methods
Capital asset pricing models
Capital assets
CAPM
Consumption
Cross-sectional analysis
Economic models
Estimation
Estimation methods
Expected returns
France
Internet
Modeling
P values
Parametric models
Pricing
Pricing policies
Querschnittsanalyse
Regression analysis
Research design
Risikoprämie
Schätztheorie
Standard error
Statistical analysis
Stock prices
Studies
Variability
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