| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3075 |
| DP3075 The Political Economy of Education and Development in an Open Economy | |
| François Bourguignon; Thierry Verdier | |
| 发表日期 | 2001-11-23 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | In this paper we present a simple model where asset returns are functions of multiple investment growth rates. The model is tested for its ability to price the 25 Fama-French portfolios using the Generalized Methods of Moments (GMM) methodology, as well as Fama-MacBeth cross-sectional regressions. Comparisons on the basis of several metrics with other models, such as the CAPM, the Fama-French (1993) model and Cochrane's (1996) model, reveal that it consistently outperforms the CAPM and Cochrane's model. It also outperforms the Fama-French model in several tests. Our model can explain a significantly larger proportion of the cross-sectional variation in the 25 Fama-French portfolios than the Fama-French model does. Specification tests in the context of GMM and the Fama-MacBeth regressions show that in the presence of the investment growth factors included in our model, the size and book-to-market characteristics lose their ability to explain asset returns. Our model is successful in pricing size- and book-to-market- sorted portfolios, although it includes exclusively macroeconomic variables as factors. |
| 主题 | Financial Economics |
| 关键词 | Gmm |
| URL | https://cepr.org/publications/dp3075 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532108 |
| 推荐引用方式 GB/T 7714 | François Bourguignon,Thierry Verdier. DP3075 The Political Economy of Education and Development in an Open Economy. 2001. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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