Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology
Raymond Kan; Cesare Robotti; Jay Shanken · 2013 · The Journal of Finance
WASTE classifies this as Negative / Null Result Report · AI classification, approximate
The study found no significant effect — useful as a negative control or null benchmark for your own design.
Abstract (excerpt)
ABSTRACT Over the years, many asset pricing studies have employed the sample cross‐sectional regression (CSR) R 2 as a measure of model performance. We derive the asymptotic distribution of this statistic and develop associated model…
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Metadata source: OpenAlex · DOI 10.1111/jofi.12035