| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP9227
|
| DP9227 Empirical Cross-Sectional Asset Pricing |
| Stefan Nagel
|
| 发表日期 | 2012-11-25
|
| 出版年 | 2012
|
| 语种 | 英语
|
| 摘要 | I review recent research efforts in the area of empirical cross-sectional asset pricing. I start by summarizing the evidence on cross-sectional return predictability and the failure of standard (consumption) CAPM models and their conditional versions to explain these predictability patterns. One response in part of the recent literature is to focus on ad-hoc factor models, which summarize the cross-section of expected returns in parsimonious form, or on production-based approaches, which suggest links between firm characteristics and expected returns. Without imposing restrictions on investor preferences and beliefs, neither one of these two approaches can answer the question why investors price assets the way they do. Within the rational expectations paradigm, recent research that imposes such restrictions has focused on the ICAPM, long-run risks models, as well as frictions and liquidity risk. Approaches based on investor sentiment have focused on the development of empirical proxies for sentiment and for the limits to arbitrage that allow sentiment to affect prices. Empirical work that considers learning and adaptation of investors has worked with out-of-sample tests of cross-sectional predictability. |
| 主题 | Financial Economics
|
| 关键词 | Cross-section of stock returns
Empirical asset pricing
|
| URL | https://cepr.org/publications/dp9227
|
| 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/538061
|
推荐引用方式
GB/T 7714 |
Stefan Nagel. DP9227 Empirical Cross-Sectional Asset Pricing. 2012.
|
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
