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来源类型Working Paper
规范类型报告
DOI10.3386/w8098
来源IDWorking Paper 8098
Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods
Ravi Jagannathan; Zhenyu Wang
发表日期2001
出版年2001
语种英语
摘要The stochastic discount factor (SDF) method provides a unified general framework for econometric analysis of asset pricing models. It has recently been pointed out that the generality of the SDF method may come at the cost of estimation efficiency. We show that there is no need for this concern. The SDF method is as efficient as the classical beta method for estimating risk premia. In addition, the SDF method has an advantage -- the classical beta method, unlike the SDF method, substantially understates the effect of sampling errors when the estimated unanticipated changes in macroeconomic variables are used as pervasive factors.
主题Financial Economics ; Econometrics ; Estimation Methods
URLhttps://www.nber.org/papers/w8098
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/565691
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GB/T 7714
Ravi Jagannathan,Zhenyu Wang. Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods. 2001.
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