Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation
以个股检验资产定价模型：处理风险溢价估计中的变量测量误差偏差
To attenuate an inherent errors-in-variables bias, portfolios are widely employed to test asset pricing models; but portfolios might mask relevant risk- or return-related features of individual stocks. We propose an instrumental variables approach that allows the use of individual stocks as test assets, yet delivers consistent estimates of ex post risk premiums. This estimator also yields well-specified tests in small samples. The market risk premium under the capital asset…