Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

Material TypeArticleLanguageEnglish
TitlePricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology Author(S)RAYMOND KAN (Author)
Abstract  Over the years, many asset pricing studies have employed the sample cross-sectional regression (CSR) R2 as a measure of model performance. ...Paginationp2617-2650
SubjectEconomicsDescriptorsFinance
Journal TitleThe Journal of Finance  
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