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Cited by 1,601

The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.

On the Estimation of Beta-Pricing Models

Open access
Shanken, Jay·1992·Review of Financial Studies
DOI 10.1093/rfs/5.1.1
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Abstract

An integrated econometric view of maximum likelihood methods and more traditional two-pass approaches to estimating beta-pricing models is presented. Several aspects of the well-known “errors-in-variables problem” are considered, and an earlier conjecture concerning the merits of simultaneous estimation of beta and price of risk parameters is evaluated. The traditional inference procedure is found, under standard assumptions, to overstate the precision of price of risk estimates and an asymptotically valid correction is derived. Modifications to accommodate serial correlation in market-wide factors are also discussed.

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Metadata

Authors
Shanken, J.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
1992-01
Volume
5
Issue
1
Pages
1-33
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/5.1.1
OpenAlex
W2142152317
Cited by
1,601
References
1
FWCI
33.52
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: On the Estimation of Beta-Pricing Models. https://app.cochat.ai/papers/10.1093/rfs/5.1.1
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Shanken, J. (1992). On the Estimation of Beta-Pricing Models. Review of Financial Studies. https://doi.org/10.1093/rfs/5.1.1

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.