全球智库信息集成服务系统(G2TT): Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods

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来源类型	Working Paper
规范类型	报告
DOI	10.3386/w8098
来源ID	Working 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
URL	https://www.nber.org/papers/w8098
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/565691
推荐引用方式 GB/T 7714	Ravi Jagannathan,Zhenyu Wang. Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods. 2001.