The Fama-Macbeth (1973) rolling-β method is widely used for estimating risk premiums, but its inherent errors-in-variables bias remains an unresolved problem, particularly when using individual assets or macroeconomic factors. We propose a solution with a particular instrumental variable, β calculated from alternate observations. The resulting estimators are unbiased. In simulations, we compare...

We develop a specification test and a sequence of model selection procedures for nonnested, overlapping, and nested models based on the second Hansen-Jagannathan distance, which requires a good asset pricing model to not only have small pricing errors but also be arbitrage free. Our methods have reasonably good finite sample performances and are more powerful than existing ones in detecting mis...

Capital Asset Pricing Model (CAPM) provides an equilibrium linear relationship between expected return and risk of an asset. The purpose of this paper is to investigate a risk-return relationship within the CAPM framework. The study also aims at exploring whether CAPM is a good indicator of asset pricing in Bangladesh. For this study, a period 19992003 have been considered. Fama-French [1992] m...

Analogy is an important cognitive process that has been researched extensively. Functional accounts of it typically involve at least four stages of processing (access, mapping, transfer, and evaluation, e.g., see Kokinov & French, 2002), however, they take the way in which the base analog is understood, along with its relational structure, for granted. The goal of this paper is to open a discus...

The Sharpe (1964), Lintner (1965) and Black (1972) Capital Asset Pricing Model (CAPM) is considered one of the foundational contributions to the practice of finance. The model postulates that the equilibrium rates of return on all risky assets are a linear function of their covariance with the market portfolio. Recent work by Fama and French (1996, 2006) introduce a Three Factor Model that ques...

In the traditional portfolio model, investors calculate the expected return of assets and the covariance matrix for optimal asset allocation. This paper divides market sentiment period into three states and selectes the securities in the Chinese stock market to construct portfolios. We implement both the Fama-French five-factor model and the robust median covariance matrix approach for predicti...

Antibody titers to varicella-zoster virus were measured in varicella-susceptible immunocompromised children 48 h after they received either one of two lots of zoster immune globulin (ZIG) or a selected lot of immune serum globulin (ISG). Globulin was given to modify varicella in these children after exposure to varicella or zoster. Indirect immunofluorescence antibody titers (FAMA) of children ...