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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. |
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w8098.pdf(376KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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