Identification and inference in two-pass asset pricing models

DOI10.1016/j.jedc.2016.07.002zbMath1401.91076OpenAlexW2467008574MaRDI QIDQ1656372

Huntley Schaller, Lynda Khalaf

Publication date: 10 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2016.07.002

zbMATH Keywords

CAPMweak identificationcross-sectional asset pricing inferenceFama-French factorsFama-MacBethreduced rank beta

Mathematics Subject Classification ID

Related Items (1)

Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds

Cites Work

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