| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13357 |
| 来源ID | Working Paper 13357 |
| Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors | |
| A. Craig Burnside | |
| 发表日期 | 2007-08-24 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | The risk factors in many consumption-based asset pricing models display statistically weak correlation with the returns being priced. Some GMM-based procedures used to test these models have very low power to reject proposed stochastic discount factors (SDFs) when they are misspecified and the covariance matrix of the asset returns with the risk factors has less than full column rank. Consequently, these estimators provide potentially misleading positive assessments of the SDFs. Working with SDFs specified in terms of demeaned risk factors improves the performance of GMM but the power to reject misspecified SDFs may remain low. Two summary tests for failure of the rank condition have reasonable power, and lead to no Type I errors in Monte Carlo experiments. |
| 主题 | Econometrics ; Estimation Methods ; International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w13357 |
| 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/571027 |
| 推荐引用方式 GB/T 7714 | A. Craig Burnside. Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors. 2007. |
| 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 | ||
| w13357.pdf（569KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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