| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12513 |
| 来源ID | Working Paper 12513 |
| Linear Approximations and Tests of Conditional Pricing Models | |
| Michael W. Brandt; David A. Chapman | |
| 发表日期 | 2006-09-16 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | We construct a simple reduced-form example of a conditional pricing model with modest intrinsic nonlinearity. The theoretical magnitude of the pricing errors (alphas) induced by the application of standard linear conditioning are derived as a direct consequence of an omitted variables bias. When the model is calibrated to either characteristics sorted or industry portfolios, we find that the alphas generated by approximation-induced specification error are economically large. A Monte Carlo analysis shows that finite-sample alphas are even larger. It also shows that the power to detect omitted nonlinear factors through tests based on estimated risk premiums can sometimes be quite low, even when the effect of misspecification on alphas is large. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w12513 |
| 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/570171 |
| 推荐引用方式 GB/T 7714 | Michael W. Brandt,David A. Chapman. Linear Approximations and Tests of Conditional Pricing Models. 2006. |
| 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 | ||
| w12513.pdf（472KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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