On the estimation of asset pricing models using univariate betas

DOI10.1016/j.econlet.2010.11.004zbMath1210.91100OpenAlexW3122842425MaRDI QIDQ631271

Cesare Robotti, Raymond Kan

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

asset pricing modelsrisk premiamodel misspecificationunivariate betas

Mathematics Subject Classification ID

Related Items (1)

Evaluation of Asset Pricing Models Using Two-Pass Cross-Sectional Regressions

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

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