The Errors in the Variables Problem in the Cross‐Section of Expected Stock Returns
针对两阶段估计法中市场贝塔系数因变量误差问题被低估的现象，提出一种能应对条件异方差的新修正方法。修正后，市场贝塔的解释力增强，而公司规模的作用减弱但仍显著。
ABSTRACT Recent research has documented the failure of market beta to capture the cross‐section of expected returns within the context of a two‐pass estimation methodology. However, the two‐pass methodology suffers from the errors‐in‐variables (EIV) problem that could attenuate the apparent significance of market beta. This article provides a new correction for the EIV problem that is robust to conditional heteroscedasticity. After the correction, I find more support for the role of market beta and less support for the role of firm size in explaining the cross‐section of expected returns. While the EIV correction leads to a diminished role of firm size, the size variable remains a significant force in explaining the cross‐section of expected returns.