Article ID Journal Published Year Pages File Type
5069409 Finance Research Letters 2015 10 Pages PDF
Abstract
In this paper, we provide the asymptotic theory for the widely used Fama and MacBeth (1973) two-pass risk premia estimates in the usual case of a large number of assets. We demonstrate analytically and using simulations that the standard OLS and GLS estimators can contain large bias when the time series sample size is small, but our proposed OLS and GLS estimators can reduce the bias significantly.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
, ,