1. ZHAW digitalcollection
  2. School of Management and Law
  3. Publikationen
  4. Publikationen School of Management and Law
Full metadata record
DC FieldValueLanguage
dc.contributor.authorBänziger-Aiba, Armin-
dc.contributor.authorGramespacher, Thomas-
dc.date.accessioned2018-11-09T15:14:35Z-
dc.date.available2018-11-09T15:14:35Z-
dc.date.issued2015-
dc.identifier.issn1450-2887de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/12734-
dc.description.abstractThe two-pass (cross-sectional) regression approach is widely used for estimating risk premia and testing factor pricing models. We investigate on two problems of the methodology, namely the error-in-variable bias and the large standard errors of the estimates. To mitigate these effects, we propose to run the first- and/or second-pass regression without an intercept (constant), hence imposing the theoretical restriction of the factor pricing model. We use simulations to assess the (finite sample) properties of estimators in the different regression specifications. Findings show that the error-in- variables bias and the standard errors of the estimates can be reduced considerably. Nevertheless, the standard errors remain substantial, even in large samples, so that statistical inference remains a challenging endeavour.de_CH
dc.language.isoende_CH
dc.publisherINFEde_CH
dc.relation.ispartofInternational Research Journal of Finance and Economicsde_CH
dc.rightsLicence according to publishing contractde_CH
dc.subjectSimulation studyde_CH
dc.subjectTwo-pass approachde_CH
dc.subjectAsset pricing econometricsde_CH
dc.subjectCross-section regressionde_CH
dc.subject.ddc330: Wirtschaftde_CH
dc.titleEstimating Beta pricing models with or without an Intercept : results from simulationsde_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Management and Lawde_CH
zhaw.funding.euNode_CH
zhaw.issue140de_CH
zhaw.originated.zhawYesde_CH
zhaw.pages.end82de_CH
zhaw.pages.start76de_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume2015de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
Appears in collections:Publikationen School of Management and Law

Files in This Item:
There are no files associated with this item.
Show simple item record
Bänziger-Aiba, A., & Gramespacher, T. (2015). Estimating Beta pricing models with or without an Intercept : results from simulations. International Research Journal of Finance and Economics, 2015(140), 76–82.
Bänziger-Aiba, A. and Gramespacher, T. (2015) ‘Estimating Beta pricing models with or without an Intercept : results from simulations’, International Research Journal of Finance and Economics, 2015(140), pp. 76–82.
A. Bänziger-Aiba and T. Gramespacher, “Estimating Beta pricing models with or without an Intercept : results from simulations,” International Research Journal of Finance and Economics, vol. 2015, no. 140, pp. 76–82, 2015.
BÄNZIGER-AIBA, Armin und Thomas GRAMESPACHER, 2015. Estimating Beta pricing models with or without an Intercept : results from simulations. International Research Journal of Finance and Economics. 2015. Bd. 2015, Nr. 140, S. 76–82
Bänziger-Aiba, Armin, and Thomas Gramespacher. 2015. “Estimating Beta Pricing Models with or without an Intercept : Results from Simulations.” International Research Journal of Finance and Economics 2015 (140): 76–82.
Bänziger-Aiba, Armin, and Thomas Gramespacher. “Estimating Beta Pricing Models with or without an Intercept : Results from Simulations.” International Research Journal of Finance and Economics, vol. 2015, no. 140, 2015, pp. 76–82.


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.