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.authorGramespacher, Thomas-
dc.contributor.authorBänziger, Armin-
dc.date.accessioned2019-10-31T14:44:40Z-
dc.date.available2019-10-31T14:44:40Z-
dc.date.issued2019-
dc.identifier.issn0219-0915de_CH
dc.identifier.issn1793-6705de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/18606-
dc.description.abstractIn two-pass regression-tests of asset-pricing models, cross-sectional correlations in the errors of the first-pass time-series regression lead to correlated measurement errors in the betas used as explanatory variables in the second-pass cross-sectional regression. The slope estimator of the second-pass regression is an estimate for the factor risk-premium and its significance is decisive for the validity of the pricing model. While it is well known that the slope estimator is downward biased in presence of uncorrelated measurement errors, we show in this paper that the correlations seen in empirical return data substantially suppress this bias. For the case of a single-factor model, we calculate the bias of the OLS slope estimator in the presence of correlated measurement errors with a first-order Taylor-approximation in the size of the errors. We show that the bias increases with the size of the errors, but decreases the more the errors are correlated. We illustrate and validate our result using a simulation approach based on empirical data commonly used in asset-pricing tests.de_CH
dc.language.isoende_CH
dc.publisherWorld Scientific Publishingde_CH
dc.relation.ispartofReview of Pacific Basin Financial Markets and Policiesde_CH
dc.rightsLicence according to publishing contractde_CH
dc.subjectAsset pricingde_CH
dc.subjectError in variablede_CH
dc.subjectSimulationde_CH
dc.subjectIdiosyncratic riskde_CH
dc.subject.ddc332: Finanzwirtschaftde_CH
dc.titleThe bias in two-pass regression tests of asset-pricing models in presence of idiosyncratic errors with cross-sectional dependencede_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Management and Lawde_CH
zhaw.organisationalunitInstitut für Wealth & Asset Management (IWA)de_CH
dc.identifier.doi10.1142/S0219091519500127de_CH
zhaw.funding.euNode_CH
zhaw.issue2de_CH
zhaw.originated.zhawYesde_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume22de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
zhaw.webfeedW: Spitzenpublikationde_CH
zhaw.author.additionalNode_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
Gramespacher, T., & Bänziger, A. (2019). The bias in two-pass regression tests of asset-pricing models in presence of idiosyncratic errors with cross-sectional dependence. Review of Pacific Basin Financial Markets and Policies, 22(2). https://doi.org/10.1142/S0219091519500127
Gramespacher, T. and Bänziger, A. (2019) ‘The bias in two-pass regression tests of asset-pricing models in presence of idiosyncratic errors with cross-sectional dependence’, Review of Pacific Basin Financial Markets and Policies, 22(2). Available at: https://doi.org/10.1142/S0219091519500127.
T. Gramespacher and A. Bänziger, “The bias in two-pass regression tests of asset-pricing models in presence of idiosyncratic errors with cross-sectional dependence,” Review of Pacific Basin Financial Markets and Policies, vol. 22, no. 2, 2019, doi: 10.1142/S0219091519500127.
GRAMESPACHER, Thomas und Armin BÄNZIGER, 2019. The bias in two-pass regression tests of asset-pricing models in presence of idiosyncratic errors with cross-sectional dependence. Review of Pacific Basin Financial Markets and Policies. 2019. Bd. 22, Nr. 2. DOI 10.1142/S0219091519500127
Gramespacher, Thomas, and Armin Bänziger. 2019. “The Bias in Two-Pass Regression Tests of Asset-Pricing Models in Presence of Idiosyncratic Errors with Cross-Sectional Dependence.” Review of Pacific Basin Financial Markets and Policies 22 (2). https://doi.org/10.1142/S0219091519500127.
Gramespacher, Thomas, and Armin Bänziger. “The Bias in Two-Pass Regression Tests of Asset-Pricing Models in Presence of Idiosyncratic Errors with Cross-Sectional Dependence.” Review of Pacific Basin Financial Markets and Policies, vol. 22, no. 2, 2019, https://doi.org/10.1142/S0219091519500127.


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