Start of Main Content
Journal Article
A note on the asymptotic covariance in Fama-MacBeth regression
Journal of Finance
Author(s)
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.
Date Published:
1998
Citations:
Jagannathan, Ravi, Zhenyu Wang. 1998. A note on the asymptotic covariance in Fama-MacBeth regression. Journal of Finance. (2)799-801.