2019•Journal of Financial EconomicsOpen access

Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation

Narasimhan Jegadeesh, Joonki Noh, Kuntara Pukthuanthong, Richard W. Roll, Junbo Wang

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Key concepts: Capital asset pricing model, Risk premium, Econometrics, Consumption-based capital asset pricing model, Economics, Estimator, Arbitrage pricing theory, Market liquidity

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Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation — Research Paper | ScholarLens