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When factors are misspecified, estimators for risk premiums can be biased, and the\n                    <jats:italic>t<\/jats:italic>\n                    \u2010value of a premium may converge to infinity in probability even when the true premium is zero. However, when a beta\u2010pricing model is misspecified, the\n                    <jats:italic>t<\/jats:italic>\n                    \u2010values for firm characteristics generally converge to infinity in probability, which supports the use of firm characteristics in cross\u2010sectional regressions for detecting model misspecification.\n                  <\/jats:p>","DOI":"10.1111\/0022-1082.00053","type":"journal-article","created":{"date-parts":[[2003,3,12]],"date-time":"2003-03-12T02:32:57Z","timestamp":1047436377000},"page":"1285-1309","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":261,"title":["An Asymptotic Theory for Estimating Beta\u2010Pricing Models Using Cross\u2010Sectional Regression"],"prefix":"10.1111","volume":"53","author":[{"given":"Ravi","family":"Jagannathan","sequence":"first","affiliation":[{"name":"Kellogg Graduate School of Management, Northwestern University Carlson School of Management University of Minnesota"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Zhenyu","family":"Wang","sequence":"additional","affiliation":[{"name":"Graduate School of Business Columbia University"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2002,12,17]]},"reference":[{"key":"e_1_2_9_2_1","volume-title":"Advanced Econometrics","author":"Amemiya Takeshi","year":"1985"},{"key":"e_1_2_9_3_1","first-page":"163","article-title":"Market models and heteroscedasticity of security returns","volume":"1","author":"Barone\u2010Adesi Giovanni","year":"1983","journal-title":"Journal of Business and Economic Statistics"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90018-0"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/8.2.275"},{"key":"e_1_2_9_6_1","volume-title":"Studies in the Theory of Capital Markets","author":"Black Fischer","year":"1972"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/295634"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/261527"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb04642.x"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/296344"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03806.x"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb04773.x"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/296162"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/294743"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04398.x"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05202.x"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1086\/260061"},{"key":"e_1_2_9_19_1","first-page":"1029","volume-title":"Time Series Analysis","author":"Hamilton James D.","year":"1982"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1086\/261749"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb04813.x"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913601"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05201.x"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.334095"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331323"},{"key":"e_1_2_9_26_1","article-title":"Two\u2010pass tests of asset pricing models with useless factors","author":"Kan Raymond","year":"1997","journal-title":"Journal of Finance"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05170.x"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05171.x"},{"key":"e_1_2_9_29_1","first-page":"551","article-title":"Using generalized method of moments to test mean\u2010variance efficiency","volume":"46","author":"MacKinlay A. 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