On the estimation of asset pricing models using univariate betas

被引：5

作者：

Kan, Raymond ^{[2
]}

Robotti, Cesare ^{[1
]}

机构：

[1] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA

[2] Univ Toronto, Toronto, ON M5S 1A1, Canada

来源：

ECONOMICS LETTERS | 2011年 / 110卷 / 02期

关键词：

Asset pricing models; Risk premia; Univariate betas; Model misspecification; RETURNS;

D O I：

10.1016/j.econlet.2010.11.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We derive asymptotic standard errors of risk premia estimates based on the popular two-pass cross-sectional regression methodology developed by Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973) when univariate betas are used as regressors. Our standard errors are robust to model misspecification and allow for general distributional assumptions. In testing whether the beta risk of a given factor is priced, our misspecification robust standard error can lead to economically different conclusions from those based on the Jagannathan and Wang (1998) standard error which is derived under the correctly specified model. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：117 / 121

页数：5

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