Residual risk revisited

DOI10.1016/0304-4076(90)90094-AzbMath0701.62105OpenAlexW3125538213MaRDI QIDQ914318

Bruce N. Lehmann

Publication date: 1990

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(90)90094-a

zbMATH Keywords

portfolioaggregating subperiod risk premium estimatesmeasurement error in market model parameter estimates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Investors' Time Horizon and the Inefficiency of Capital Markets
• A Test of the Efficiency of a Given Portfolio
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