On the Robustness of Size and Book-to-Market in Cross-Sectional Regressions

Abstract
This article develops a robust regression estimator to analyze the risk premia on size and book-to-market.
Volume
52:4
Page
1355-1382
Year
1997
Categories
Financial and Statistical Methods
Statistical Models and Methods
Regression
Publications
Journal of Finance
Authors
Peter Knez
Mark Ready