| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12085 |
| DP12085 Empirical Evaluation of Overspecified Asset Pricing Models | |
| ENRIQUE SENTANA | |
| 发表日期 | 2017-06-11 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Asset pricing models with potentially too many risk factors are increasingly common in empirical work. Unfortunately, they can yield misleading statistical inferences. Unlike other studies focusing on the properties of standard estimators and tests, we estimate the sets of SDFs and risk prices compatible with the asset pricing restrictions of a given model. We also propose tests to detect problematic situations with economically meaningless SDFs uncorrelated to the test assets. We confirm the empirical relevance of our proposed estimators and tests with Yogo's (2006) linearized version of the consumption CAPM, and provide Monte Carlo evidence on their reliability in finite samples. |
| 主题 | Financial Economics |
| 关键词 | Factor pricing models Set estimation Stochastic discount factor Underidentification tests Continuously updated gmm |
| URL | https://cepr.org/publications/dp12085 |
| 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/540896 |
| 推荐引用方式 GB/T 7714 | ENRIQUE SENTANA. DP12085 Empirical Evaluation of Overspecified Asset Pricing Models. 2017. |
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