Second pass regression

Second pass regression

A cross-sectional regression of portfolio returns on betas. The estimated slope is the measurement of the reward for bearing systematic risk during the period analyzed.
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a) monthly returns extracted from the SES Journal from the immediately post reform period of the SES, covering 1986-1993, b) first pass time-series regression as in equation (III-3) to estimate beta, second pass regression, if necessary, to find the values of [[eta].
They are done on a yearly basis all the time, except when the work involves the second pass regression.
Therefore my methodology to use T-test in place of the time-series second pass regression should produce results that are closer to the real situations with no more statistical problem.
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