| Author: | Shanken, J. Zhou, G. |
| Title: | Estimating and testing beta pricing models: Alternative methods and their performance in simulations |
| Journal: | Journal of Financial Economics
2007 : APR, VOL. 84:1, p. 40-86 |
| Index terms: | cross-sectional models regression analysis simulation methodology models |
| Freeterms: | specification tests |
| Language: | eng |
| Abstract: | This paper performs a simulation analysis of the Fama and MacBeth 2-pass procedure (publ. in "Risk, returns and equilibrium: empirical tests", Journal of Political Economy, 1973, vol. 71, p. 607-636), as well as maximum likelihood (ML) and generalized method of moments estimators of cross-sectional expected return models. In addition, relations between estimators, asymptotic distributions under model misspecification ... are provided etc. |
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