| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19969 |
| 来源ID | Working Paper 19969 |
| Estimating the Risk-Return Trade-off with Overlapping Data Inference | |
| Esben Hedegaard; Robert J. Hodrick | |
| 发表日期 | 2014-03-13 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | Asset pricing models such as the conditional CAPM are typically estimated with MLE using a monthly or quarterly horizon with data sampled to match the horizon even though daily data are available. We develop an overlapping data inference methodology (ODIN) that uses all of the data while maintaining the monthly or quarterly forecasting period, and we apply it to the conditional CAPM. Our approach recognizes that the first order conditions of MLE can be used as orthogonality conditions of GMM. Using historical data, we find considerable differences in the estimates from the non-overlapping samples that begin on different days. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w19969 |
| 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/577643 |
| 推荐引用方式 GB/T 7714 | Esben Hedegaard,Robert J. Hodrick. Estimating the Risk-Return Trade-off with Overlapping Data Inference. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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