Estimation of betas based on a time series regression of securities portfolios.
Related information about first-pass regression:
- First-pass regression - Financial Dictionary - The Free Dictionary
Definition of First-pass regression in the Financial Dictionary - by Free online English dictionary and encyclopedia. What is First-pass regression? Meaning of ...
- Capital Asset Pricing Model (CAPM)
The basic idea of the approach is the use of a time series (first pass) regression to estimate betas and the use of a cross–sectional (second pass) regression to ...
- What is first-pass regression? definition and meaning
Definition of first-pass regression: Estimation of betas based on a time series regression of securities portfolios.
- Lecture 5:
Lecture 5 Empirical Testing of the asset pricing models; ...
- First-pass regression - Financial Definition
Financial Definition of First-pass regression and related terms: A time series regression to estimate the betas of securities portfolios. . .
- First-pass regression Definition - NASDAQ.com
First-pass regression : read the definition of First-pass regression and 8000+ other financial and investing terms in the NASDAQ.com Financial Glossary.
- First-Pass Regression Definition
First-Pass Regression Estimation of betas of portfolios of securities using time series regression.
- chapter viii. empirical tests of the capital asset
Furthermore, any errors in measuring bi in the first pass regression will lead to a downward bias in the coefficient for bi in the second pass regression. In a sense ...