… First, we show that cross-sectional correlations in the … obey the singlefactor pricing model
(98.1). We use the two-path … The resulting portfolio betas range from 0.86 to 1.39 with a …

… the two-pass test methodology that is used in cross-sectional … based on the generalized
method of moments estimation and … To compute the HJ-distance, we can use simply the inverse …

… To motivate the use of δ in the analysis of factor pricing we first generalise Ross’s APT …
-corrected two pass estimator exists, but need not be Gaussian due to the error cross sectional …

… likelihood and two-pass cross-sectional estimators are … analyses of different cross-sectional
estimation methods, it is not … has very high t -statistics in the range of 6.76 to 7.51 using the …

… propose a new two-pass regression approach to cope with … spanning regressions to evaluate
factor model performance, … partially correct in that the complete separation of γ from other …

… To motivate the use of δ in the analysis of factor pricing we first generalise Ross’s APT …
-corrected two pass estimator exists, but need not be Gaussian due to the error cross sectional …

… a linear multi-factor setting is the two-pass cross-sectional regression method developed by
… that the number of possible models without grouping is divided by 2 3 , at least, and often by …

… We show that our large cross-sectional framework poses a serious challenge to common …
validity of beta-pricing models. In the context of pricing models with Fama-French factors, firm …

… , independently of a similar approach subsequently followed by … allow for two types of
cross-sectional error dependence: one … least one of the observed factors is strong, in the sense …

… pricing errors estimated with the two-pass regression. It can be widely applied to models with
traded and/or non traded risk factors… Hansen–Jagannathan distance requires the inversion …