Shanken, Jay; Zhou, Guofu - China Economics and Management Academy, Central … - 2007
We conduct a simulation analysis of the Fama and MacBeth[1973. Risk, returns and equilibrium: empirical tests. Journal of Political Economy 71, 607¨C636.] two-pass procedure, as well as maximum likelihood (ML) and generalized method of moments estimators of cross-sectional expected return...