TY  - JOUR
AU  - Shanken,Jay
AU  - Zhou,Guofu
TI  - Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 12055
PY  - 2006
Y2  - February 2006
UR  - http://www.nber.org/papers/w12055
L1  - http://www.nber.org/papers/w12055.pdf
N1  - Author contact info:
Jay A. Shanken
Goizueta Business School
Emory University
1300 Clifton Road
Atlanta, GA 30322
Tel: 404/727-4772
Fax: 404/727-5238
E-Mail: jay_shanken@bus.emory.edu

Guofu Zhou
    Professor Guofu Zhou
Olin School of Business
Washington University
1 Brookings Dr.
St. Louis, MO 63130
E-Mail: zhou@wustl.edu
AB  - In this paper, we conduct a simulation analysis of the Fama and MacBeth (1973) two-pass procedure, as well as maximum likelihood (ML) and generalized method of moments estimators of cross-sectional expected return models. We also provide some new analytical results on computational issues, the relations between estimators, and asymptotic distributions under model misspecification. The GLS estimator is often much more precise than the usual OLS estimator, but it displays more bias as well. A "truncated" form of ML performs quite well overall in terms of bias and precision, but produces less reliable inferences than the OLS estimator.
ER  -