| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16457 |
| 来源ID | Working Paper 16457 |
| Estimation and Evaluation of Conditional Asset Pricing Models | |
| Stefan Nagel; Kenneth J. Singleton | |
| 发表日期 | 2010-10-14 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We find that several recently proposed consumption-based models of stock returns, when evaluated using an optimal set of managed portfolios and the associated model-implied conditional moment restrictions, fail to capture key features of risk premiums in equity markets. To arrive at these conclusions, we construct an optimal GMM estimator for models in which the stochastic discount factor (SDF) is a conditionally affine function of a set of priced risk factors. Further, for the (often relevant) case where a researcher is proposing a generalized SDF relative to some null model, we show that there is an optimal choice of managed portfolios to use in testing the null against the proposed alternative. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w16457 |
| 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/574131 |
| 推荐引用方式 GB/T 7714 | Stefan Nagel,Kenneth J. Singleton. Estimation and Evaluation of Conditional Asset Pricing Models. 2010. |
| 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 | ||
| w16457.pdf（1313KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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