| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7661 |
| 来源ID | Working Paper 7661 |
| Evaluating the Specification Errors of Asset Pricing Models | |
| Robert J. Hodrick; Xiaoyan Zhang | |
| 发表日期 | 2000-04-01 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | This paper examines the specification errors of several asset pricing models using the methodology of Hansen and Jagannathan (1997) and a common data set. The models are the CAPM, the Consumption CAPM, the Jagannathan and Wang (1996) conditional CAPM, the Campbell (1996) dynamic asset pricing model, the Cochrane (1996) production-based model, and the Fama-French (1993) three-factor and five-factor models. We use returns on the Fama-French twenty-five portfolios sorted by size and book-to-market ratio and the risk-free rate as our test assets. The sample is 1952 to 1997. We allow the parameters of the models' pricing kernels to fluctuate with the business cycle which we measure in two ways. One uses the Hodrick-Prescott (1997) filter applied to either industrial production for monthly models or real GNP for quarterly models. The second approach for quarterly models uses the consumption-wealth measure developed by Lettau and Ludvigson (1999). While we cannot reject correct pricing for Campbell's model, a stability test indicates that the parameters may not be stable. None of the models correctly prices returns that are scaled by the term premium. |
| 主题 | Financial Economics ; Financial Markets ; Macroeconomics ; Consumption and Investment |
| URL | https://www.nber.org/papers/w7661 |
| 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/565216 |
| 推荐引用方式 GB/T 7714 | Robert J. Hodrick,Xiaoyan Zhang. Evaluating the Specification Errors of Asset Pricing Models. 2000. |
| 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 | ||
| w7661.pdf（1106KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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