On the estimation of asset pricing models using univariate betas

Raymond Kan; Cesare Robotti

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On the estimation of asset pricing models using univariate betas

机译：关于使用单变量Beta进行资产定价模型的估计

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We derive asymptotic standard errors of risk premia estimates based on the popular two-pass cross-sectional regression methodology developed by Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973) when univariate betas are used as regressors. Our standard errors are robust to model misspecification and allow for general distributional assumptions. In testing whether the beta risk of a given factor is priced, our misspecification robust standard error can lead to economically different conclusions from those based on the Jagannathan and Wang (1998) standard error which is derived under the correctly specified model.

机译：当单变量beta用作回归变量时，我们根据Black，Jensen和Scholes（1972）和Fama和MacBeth（1973）开发的流行的两遍横截面回归方法，得出风险溢价估计的渐近标准误差。我们的标准误差对于错误指定模型具有鲁棒性，并允许进行一般的分布假设。在测试给定因子的beta风险是否已计价时，我们的错误指定稳健标准误差可能导致与基于Jagannathan and Wang（1998）标准误差（根据正确指定的模型得出）的结论在经济上有所不同的结论。

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来源
《Economics letters》 |2011年第2期|p.117-121|共5页
作者
Raymond Kan; Cesare Robotti;
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作者单位

University of Toronto, Canada;

Research Department, Federal Reserve Bank of Atlanta, WOO Peachtree St. N.E., Atlanta, CA 30309, USA;

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原文格式 PDF
正文语种 eng
中图分类
关键词
asset pricing models; risk premia; univariate betas; model misspecification;

机译：资产定价模型;风险溢价;单变量beta;模型错误指定;

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专利

1. Corrigendum to 'Estimation of conditional asset pricing models with integrated variables in the beta specification' [Res. Int. Bus. Finance 52 (2020) 101148] [J] . Antypas Antonios, Caporale Guglielmo Maria, Kourogenis Nikolaos, Research in International Business and Finance . 2021,第Apra期

机译：“β规范中的集成变量”估算有条件资产定价模型的勘探 - [Res。 int。公共汽车。金融52（2020）101148]
2. Estimation of conditional asset pricing models with integrated variables in the beta specification [J] . Antypas Antonios, Caporale Guglielmo Maria, Kourogenis Nikolaos, Research in International Business and Finance . 2020,第Apra期

机译：β规范中集成变量的条件资产定价模型的估算
3. Modelos de cálculo de las betas a aplicar en el Capital Asset Pricing Model: el caso de Argentina↓Modelos pra o cálculo das betas pra aplicar: o caso da Argentina [J] . Martínez Carlos E., Ledesma Juan S., Russo Alfredo O. Estudios Gerenciales . 2014,第131期

机译：Beta将在资本资产定价模型中应用的计算模型：阿根廷的情况↓适用于Beta的模型或计算方法：o阿根廷的情况
4. The Long and the Short of Asset Prices: Using Long Run Consumption-Return Correlations to Test Asset Pricing Models [C] . Jianfeng Yu 2009 China international conference in finance . 2009

机译：资产价格的多头和空头：使用长期消费-回报相关性来测试资产定价模型
5. Estimation of global beta and tests of capital asset pricing models. [D] . You, Leyuan. 2006

机译：估计全球Beta和资本资产定价模型的测试。
6. Relative Entropy and Minimum-Variance Pricing Kernel in Asset Pricing Model Evaluation [O] . Javier Rojo-Suárez, Ana Belén Alonso-Conde 2020

机译：资产定价模型评估中相对熵和最小差异定价核
7. A note on the estimation of asset pricing models using simple regression betas [O] . Kan Raymond, Robotti Cesare 2009

机译：关于使用简单回归测度估计资产定价模型的说明

On the estimation of asset pricing models using univariate betas

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