| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0145 |
| 来源ID | Technical Working Paper 0145 |
| Econometric Evaluation of Asset Pricing Models | |
| Lars Peter Hansen; John Heaton; Erzo G.J. Luttmer | |
| 发表日期 | 1993-10-01 |
| 出版年 | 1993 |
| 语种 | 英语 |
| 摘要 | In this paper we provide econometric tools for the evaluation of intertemporal asset pricing models using specification-error and volatility bounds. We formulate analog estimators of these bounds, give conditions for consistency and derive the limiting distribution of these estimators. The analysis incorportes market frictions such as short-sale constraints and proportional transactions costs. Among several applications we show how to use the methods to assess specific asset pricing models and to provide nonparametric characterizations of asset pricing anomalies. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/t0145 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561857 |
| 推荐引用方式 GB/T 7714 | Lars Peter Hansen,John Heaton,Erzo G.J. Luttmer. Econometric Evaluation of Asset Pricing Models. 1993. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0145.pdf（1400KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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