Pricing model performance and the two‐pass cross‐sectional regression methodology

R Kan, C Robotti, J Shanken - The Journal of Finance, 2013 - Wiley Online Library
Over the years, many asset pricing studies have employed the sample cross‐sectional
regression (CSR) R2 as a measure of model performance. We derive the asymptotic …
被引用次数：414 相关文章
[PDF] core.ac.uk

[PDF][PDF] PRICING MODEL PERFORMANCE AND THE TWO-PASS CROSS-SECTIONAL REGRESSION METHODOLOGY

R Kan, C Robotti, J Shanken - 2009 - core.ac.uk
ABSTRACT Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the
two-pass cross-sectional regression (CSR) methodology has become the most popular …

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

R Kan, C Robotti, J Shanken - 2009 - nber.org
ABSTRACT Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the
two-pass cross-sectional regression (CSR) methodology has become the most popular …

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

R Kan, C Robotti, J Shanken - 2009 - policycommons.net
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass
cross-sectional regression (CSR) methodology has become the most popular approach for …

Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology

R Kan, C Robotti, J Shanken - tspace.library.utoronto.ca
Over the years, many asset pricing studies have employed the sample cross-sectional
regression (CSR) R2 as a measure of model performance. We derive the asymptotic …

Pricing model performance and the two-pass cross-sectional regression methodology

R Kan, C Robotti, J Shanken - 2009 - ideas.repec.org
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass
cross-sectional regression (CSR) methodology has become the most popular approach for …
[PDF] atlantafed.org

[PDF][PDF] Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

R Kan, C Robotti, J Shanken - 2009 - atlantafed.org
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass
crosssectional regression (CSR) methodology has become the most popular approach for …
[PDF] archive.org

[PDF][PDF] Pricing model performance and the two-pass cross-sectional regression methodology

R Kan, C Robotti, J Shanken - 2009 - scholar.archive.org
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass
crosssectional regression (CSR) methodology has become the most popular approach for …
[PDF] cesarerobotti.com

[PDF][PDF] Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

R KAN, C ROBOTTI, JAY SHANKEN - cesarerobotti.com
Over the years, many asset pricing studies have employed the sample cross-sectional
regression (CSR) R2 as a measure of model performance. We derive the asymptotic …

Pricing model performance and the two-pass cross-sectional regression methodology

R Kan, C Robotti, J Shanken - 2009 - fedinprint.org
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass
cross-sectional regression (CSR) methodology has become the most popular approach for …