Estimating and testing beta pricing models: Alternative methods and their performance in simulations

Journal of Financial Economics

Volumn 84, Issue 1, 2007, Pages 40-86

  Shanken, Jay ^a   Zhou, Guofu ^b  

^a EMORY UNIVERSITY   (United States)

^b WASHINGTON UNIVERSITY IN ST LOUIS   (United States)

Author keywords

Cross sectional regression; Fama MacBeth; Specification test

Indexed keywords

EID: 33947529035     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2006.02.003     Document Type: Article

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