The Estimation of Risk Premia with Omitted Variable Bias: Evidence from China

The Chinese stock market is replete with numerous omitted variables that can introduce biases in the standard estimation of risk premiums when traditional linear asset pricing models are applied. The three-pass method enables the estimation of risk premiums for observable factors even when not all r...

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Bibliographic Details

Published in:	Risks
Main Authors:	Jie Mao, Tianliang Xia
Format:	Article
Language:	English
Published:	MDPI AG 2023-12-01
Subjects:	omitted factors three-pass method Chinese stock market
Online Access:	https://www.mdpi.com/2227-9091/11/12/215