Kan is from the University of Toronto. Robotti is from the Federal Reserve Bank of Atlanta and EDHEC Risk Institute. Shanken is from Emory University and the National Bureau of Economic Research. We thank Pierluigi Balduzzi; Christopher Baum; Jonathan Berk; Tarun Chordia; Wayne Ferson; Nikolay Gospodinov; Olesya Grishchenko; Campbell Harvey (the Editor); Ravi Jagannathan; Ralitsa Petkova; Monika Piazzesi; Yaxuan Qi; Tim Simin; Jun Tu; Chu Zhang; Guofu Zhou; two anonymous referees; an anonymous Associate Editor; an anonymous advisor; 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, Georgia State University, Penn State University, University of New South Wales, University of Sydney, University of Technology, Sydney, and University of Toronto; as well as participants at the 2012 Utah Winter Finance Conference, the 2009 Meetings of the Association of Private Enterprise Education, the 2009 CIREQ-CIRANO Financial Econometrics Conference, the 2009 FIRS Conference, the 2009 SoFiE Conference, the 2009 Western Finance Association Meetings, the 2009 China International Conference in Finance, and the 2009 Northern Finance Association Meetings for helpful discussions and comments. Kan gratefully acknowledges financial support from the Social Sciences and Humanities Research Council of Canada and the National Bank Financial of Canada. The views expressed here are the authors' and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System.
Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
Article first published online: 12 NOV 2013
© 2013 the American Finance Association
The Journal of Finance
Volume 68, Issue 6, pages 2617–2649, December 2013
How to Cite
KAN, R., ROBOTTI, C. and SHANKEN, J. (2013), Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology. The Journal of Finance, 68: 2617–2649. doi: 10.1111/jofi.12035
- Issue published online: 12 NOV 2013
- Article first published online: 12 NOV 2013
- Accepted manuscript online: 15 FEB 2013 10:32AM EST
- Manuscript Accepted: 24 JAN 2013
- Manuscript Received: 2 MAY 2011
Disclaimer: Supplementary materials have been peer-reviewed but not copyedited.
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