The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology
Open accessAbstract
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 distribution of this statistic and develop associated model comparison tests, taking into account the impact of model misspecification on the variability of the CSR estimates. We encounter several examples of large R2 differences that are not statistically significant. A version of the intertemporal capital asset pricing model (CAPM) exhibits the best overall performance, followed by the Fama–French three‐factor model. Interestingly, the performance of prominent consumption CAPMs is sensitive to variations in experimental design.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
A method of moments interpretation of sequential estimators
Newey, W. K. (1984) · Economics Letters · doi:10.1016/0165-1765(84)90083-1 · Cited by 331
Cited by
Hsu, P.-H., Li, K., & Tsou, C.-Y. (2020) · SSRN Electronic Journal · doi:10.2139/ssrn.3578215 · Cited by 665
Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
Gagliardini, P., Ossola, E., & Scaillet, O. (2016) · Econometrica · doi:10.3982/ecta11069 · Cited by 278
Factor Models, Machine Learning, and Asset Pricing
Giglio, S., Kelly, B., & Xiu, D. (2022) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-101521-104735 · Cited by 187
Metadata
- Authors
- KAN, R., ROBOTTI, C., & SHANKEN, J.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2013-11-12
- Volume
- 68
- Issue
- 6
- Pages
- 2617-2649
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2157638220
- Cited by
- 293
- References
- 2
- FWCI
- 37.23
- Type
- journal article
- Language
- en
- Open access
- green
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- KAN, R., ROBOTTI, C., & SHANKEN, J. (2013). Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology. The Journal of Finance. https://doi.org/10.1111/jofi.12035
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