A cross-sectional asset pricing test with more power: An instrumental variable approach

Jungshik Hur

doi:10.1142/9789811269943_0108

A cross-sectional asset pricing test with more power: An instrumental variable approach

Jungshik Hur

Economics and Finance

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Original language	English
Title of host publication	Handbook Of Investment Analysis, Portfolio Management, And Financial Derivatives (In 4 Volumes)
Publisher	World Scientific Publishing Co.
Pages	3547-3582
Number of pages	36
Volume	4-4
ISBN (Electronic)	9789811269943
ISBN (Print)	9789811269936
DOIs	https://doi.org/10.1142/9789811269943_0108
State	Published - Apr 8 2024

ASJC Scopus Subject Areas

General Economics,Econometrics and Finance
General Business,Management and Accounting

Keywords

Bias of the estimated betas
Endogeneity
Fama-MacBeth regression
Instrumental variable
Size variable
Statistical power of test

Access to Document

10.1142/9789811269943_0108

Cite this

@inbook{79c46b8a0e614d5c9437c1ca50bae0bf,

title = "A cross-sectional asset pricing test with more power: An instrumental variable approach",

keywords = "Bias of the estimated betas, Endogeneity, Fama-MacBeth regression, Instrumental variable, Size variable, Statistical power of test",

author = "Jungshik Hur",

year = "2024",

month = apr,

day = "8",

doi = "10.1142/9789811269943\_0108",

language = "English",

isbn = "9789811269936",

volume = "4-4",

pages = "3547--3582",

booktitle = "Handbook Of Investment Analysis, Portfolio Management, And Financial Derivatives (In 4 Volumes)",

publisher = "World Scientific Publishing Co.",

}

TY - CHAP

T1 - A cross-sectional asset pricing test with more power

T2 - An instrumental variable approach

AU - Hur, Jungshik

PY - 2024/4/8

Y1 - 2024/4/8

KW - Bias of the estimated betas

KW - Endogeneity

KW - Fama-MacBeth regression

KW - Instrumental variable

KW - Size variable

KW - Statistical power of test

UR - https://www.scopus.com/pages/publications/85201486226

UR - https://www.scopus.com/pages/publications/85201486226#tab=citedBy

U2 - 10.1142/9789811269943_0108

DO - 10.1142/9789811269943_0108

M3 - Chapter

AN - SCOPUS:85201486226

SN - 9789811269936

VL - 4-4

SP - 3547

EP - 3582

BT - Handbook Of Investment Analysis, Portfolio Management, And Financial Derivatives (In 4 Volumes)

PB - World Scientific Publishing Co.

ER -

A cross-sectional asset pricing test with more power: An instrumental variable approach

ASJC Scopus Subject Areas

Keywords

Access to Document

Other files and links

Fingerprint

Cite this