NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

Raymond Kan, Cesare Robotti, Jay Shanken

NBER Working Paper No. 15047
Issued in June 2009

---- Acknowledgements -----

We thank Pierluigi Balduzzi, Christopher Baum, Tarun Chordia, Wayne Ferson, Nikolay Gospodinov, Ravi Jagannathan, Ralitsa Petkova, Yaxuan Qi, Guofu Zhou, seminar participants at the Board of Governors of the Federal Reserve System, Concordia University, Federal Reserve Bank of Atlanta, Federal Reserve Bank of New York, University of Toronto, and participants at the 2009 Meetings of the Association of Private Enterprise Education, the 2009 CIREQ-CIRANO Financial Econometrics Conference, and the 2009 FIRS Conference for helpful discussions and comments. Kan gratefully acknowledges financial support from the National Bank Financial of Canada. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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