| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7943 |
| DP7943 A Unifying Approach to the Empirical Evaluation of Asset Pricing Models | |
| ENRIQUE SENTANA; Francisco Peñaranda | |
| 发表日期 | 2010-08-01 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM yield numerically identical values for prices of risk, pricing errors, Jensen's alphas and overidentifying restrictions tests irrespective of the model validity. Therefore, there is arguably a single approach regardless of the factors being traded or not, or the use of excess or gross returns. We illustrate our results by revisiting Lustig and Verdelhan's (2007) empirical analysis of currency returns. |
| 主题 | Financial Economics |
| 关键词 | Cu-gmm Factor pricing models Forward premium puzzle Generalised empirical likelihood Stochastic discount factor |
| URL | https://cepr.org/publications/dp7943 |
| 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/536779 |
| 推荐引用方式 GB/T 7714 | ENRIQUE SENTANA,Francisco Peñaranda. DP7943 A Unifying Approach to the Empirical Evaluation of Asset Pricing Models. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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