| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17848 |
| 来源ID | Working Paper 17848 |
| The \"Out of Sample\" Performance of Long-run Risk Models | |
| Wayne E. Ferson; Suresh K. Nallareddy; Biqin Xie | |
| 发表日期 | 2012-02-16 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931-2009. The long-run risk models perform relatively well on the momentum effect. A cointegrated version of the model outperforms the classical, stationary version. Both the long-run and the short run consumption shocks in the models are empirically important for the models' performance. The models' average pricing errors are especially small in the decades from the 1950s to the 1990s. When we restrict the risk premiums to identify structural parameters, this results in larger average pricing errors but often smaller error variances. The mean squared errors are not substantially better than those of the classical CAPM, except for Momentum. |
| 主题 | Macroeconomics ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w17848 |
| 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/575524 |
| 推荐引用方式 GB/T 7714 | Wayne E. Ferson,Suresh K. Nallareddy,Biqin Xie. The \"Out of Sample\" Performance of Long-run Risk Models. 2012. |
| 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 | ||
| w17848.pdf（218KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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