Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations
收藏NBER2006-02-01 更新2025-01-04 收录
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https://www.nber.org/papers/w12055
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资源简介：
In this paper, we conduct a simulation analysis of the Fama and MacBeth (1973) two-pass procedure, as well as maximum likelihood (ML) and generalized method of moments estimators of cross-sectional expected return models. We also provide some new analytical results on computational issues, the
提供机构：
美国国家经济研究局
创建时间：
2006-02-01
