TIME-VARYING RISK PREMIUM IN LARGE CROSS-SECTIONAL EQUITY DATASETS

@inproceedings{Gagliardini2011TIMEVARYINGRP,
  title={TIME-VARYING RISK PREMIUM IN LARGE CROSS-SECTIONAL EQUITY DATASETS},
  author={Patrick Gagliardini and Elisa Ossola and Olivier Scaillet},
  year={2011}
}
We develop an econometric methodology to infer the path of risk premia from large unbalanced panel of individual stock returns. We estimate the time-varying risk premia implied by conditional linear asset pricing models where the conditioning includes instruments common to all assets and asset specific instruments. The estimator uses simple weighted two-pass cross-sectional regressions, and we show its consistency and asymptotic normality under increasing cross-sectional and time series… CONTINUE READING

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