Previous studies identify predetermined variables that predict stock and bond returns
through time. This paper shows that loadings on the same variables provide significant cross …

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 …

Traditional methods of modelling returns and testing the Capital Asset Pricing Model
(CAPM) do so at the mean of the conditional distribution. Instead, we model returns and test …

We propose regression-based estimators for beta representations of dynamic asset pricing
models with an affine pricing kernel specification. We allow for state variables that are cross …

Following Hansen and Jagannathan (J. Finance 52 (1997) 557), Jagannathan and Wang (J.
Finance 51 (1996) 3) propose a distance measure that estimates the maximum pricing error …

We assess the oil price sensitivities and oil risk premiums of NYSE listed oil & gas firms'
returns by using a two-step regression analysis under two different arbitrage pricing models …

We investigate the finite sample properties of the two-pass cross-sectional regression (CSR)
methodology, which is popular for estimating risk premia and testing beta pricing models …

This chapter provides a review of the two-pass cross-sectional regression methodology,
which over the years has become the most popular approach for estimating and testing …

Errors-in-variables (EIV) biases plague asset pricing tests. We offer a new perspective on
addressing the EIV issue: instead of viewing EIV biases as estimation errors that potentially …

CAPM is a fundamental asset pricing model that has complex viewpoints from scholars. The
validity of CAPM is essential for the market participants, as many of their decisions will be …