Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach
大横截面下事后风险溢价估计与资产定价检验：回归校准法
We propose a modification of the two-pass cross-sectional regression approach for estimating ex-post risk premia in linear asset pricing models, suitable for the case of large cross sections and short time series. Employing the regression-calibration method, we provide a beta correction method, which deals with the error-in-variables problem, based on which we construct an N-consistent estimator of ex-post risk premia and develop associated novel asset pricing tests.…