Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
收藏NBER2009-06-01 更新2025-01-04 收录
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https://www.nber.org/papers/w15047
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资源简介：
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption that
提供机构：
美国国家经济研究局
创建时间：
2009-06-01
