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

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Title: Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
Authors: Kan, R
Robotti, C
Shanken, J
Item Type: Journal Article
Issue Date: 31-Dec-2013
URI: http://hdl.handle.net/10044/1/18165
DOI: http://dx.doi.org/10.1111/jofi.12035
ISSN: 0022-1082
Publisher: WILEY-BLACKWELL
Start Page: 2617
End Page: 2649
Journal / Book Title: JOURNAL OF FINANCE
Volume: 68
Issue: 6
Copyright Statement: This is the peer reviewed version of the following article: KAN, R., ROBOTTI, C. and SHANKEN, J. (2013), Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology. The Journal of Finance, 68: 2617–2649, which has been published in final form at http://dx.doi.org/10.1111/jofi.12035. This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
Publication Status: Published
Appears in Collections:Imperial College Business School