| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13365 |
| DP13365 Conditional dynamics and the multi-horizon risk-return trade-off | |
| Mikhail Chernov; Lars Lochstoer; Stig Lundeby | |
| 发表日期 | 2018-12-05 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We propose testing asset-pricing models using multi-horizon returns (MHR). MHR effectively generate a new set of test assets that are endogenous to the model and that identify a broad set of possible conditional misspecifications. We apply MHR-based testing to prominent linear factor models and show that these models typically do a poor job of pricing longer-horizon returns, with pricing errors of similar magnitude as the risk premiums they were designed to explain. We trace the errors to the conditional factor dynamics. Explicitly incorporating factor timing in the models often makes mispricing worse, posing a challenge for future research. |
| 主题 | Financial Economics |
| 关键词 | Multi-horizon returns Stochastic discount factor Linear factor models |
| URL | https://cepr.org/publications/dp13365-1 |
| 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/542176 |
| 推荐引用方式 GB/T 7714 | Mikhail Chernov,Lars Lochstoer,Stig Lundeby. DP13365 Conditional dynamics and the multi-horizon risk-return trade-off. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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