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Fama–MacBeth two-pass regressions: Improving risk premia estimates · Study

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ArticleFama–MacBeth two-pass regressions: Improving risk premia estimates

Jushan Bai2015

OA

Articlegreen2015

Fama–MacBeth two-pass regressions: Improving risk premia estimates

Jushan Bai · Guofu Zhou

45 citations·0/0 files stored·Finance research letters

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1973Risk, Return, and Equilibrium: Empirical Tests 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1972Capital Market Equilibrium with Restricted Borrowing 1992On the Estimation of Beta-Pricing Models 1979The effect of personal taxes and dividends on capital asset prices

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Year2015

Typearticle

Published2015-08-12

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations45

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.frl.2015.08.001

openalex_workW3123777286

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