Assume that you run a time-series regression of the market model. Next, you run a cross-sectional regression
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Assume that you run a time-series regression of the market model. Next, you run a cross-sectional regression using one-month-ahead returns. In the crosssectional regression, how should you interpret the estimated market prices of beta risk, or λm, and the intercept term, or λ0? Howis λm related to the expected market risk premium in the CAPM?
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Rishabh Ojha
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Related Book For 
Investment Valuation And Asset Pricing Models And Methods
ISBN: 9783031167836
1st Edition
Authors: James W. Kolari, Seppo Pynnönen
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