Robust Inference in Linear Asset Pricing Models

Institut de Finance Mathematique de Montreal (IFM2), and the Social Sciences and Humanities Research Council of Canada. Kan gratefully acknowledges financial support from the Social Sciences and Humanities Research Council of Canada and the National Bank Financial of Canada. They also thank seminar participants at the Federal Reserve Bank of Atlanta, Singapore Management University, the University of Georgia, and participants at the third annual CIRPEE Applied Financial Time Series Workshop at HEC (Montreal) and Mathematical Finance Days 2012 for helpful comments. The views expressed here are the authors’ and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System. Any remaining errors are the authors’ responsibility.