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A note on the asymptotic covariance in Fama-MacBeth regression, Journal of Finance
Abstract
This note corrects an error in the derivation of a theorem in "The Conditional CAPM and the Cross-Section of Expected Returns," published in the March 1996 issue of the Journal of Finance.
Type
Article
Author(s)
Ravi Jagannathan, Zhenyu Wang
Date Published
1998
Citations
Jagannathan, Ravi, and Zhenyu Wang. 1998. A note on the asymptotic covariance in Fama-MacBeth regression. Journal of Finance.(2): 799-801.
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