G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w20435
来源IDWorking Paper 20435
Assessing Asset Pricing Models Using Revealed Preference
Jonathan B. Berk; Jules H. van Binsbergen
发表日期2014-08-28
出版年2014
语种英语
摘要We propose a new method of testing asset pricing models that relies on using quantities rather than prices or returns. We use the capital flows into and out of mutual funds to infer which risk model investors use. We derive a simple test statistic that allows us to infer, from a set of candidate models, the model that is closest to the model that investors use in making their capital allocation decisions. Using this methodology, we find that of the models most commonly used in the literature, the Capital Asset Pricing Model is the closest. The finding that investors’ revealed preferences are most aligned with the Capital Asset Pricing Model despite the fact that the model has been shown to perform poorly relative to other models in explaining cross sectional variation in expected returns, is an important puzzle for future research. We also document that a large fraction of mutual fund flows remain unexplained.
主题Microeconomics ; Households and Firms ; Macroeconomics ; Consumption and Investment ; Money and Interest Rates ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Financial Institutions
URLhttps://www.nber.org/papers/w20435
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/578108
推荐引用方式
GB/T 7714
Jonathan B. Berk,Jules H. van Binsbergen. Assessing Asset Pricing Models Using Revealed Preference. 2014.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Jonathan B. Berk]的文章
[Jules H. van Binsbergen]的文章
百度学术
百度学术中相似的文章
[Jonathan B. Berk]的文章
[Jules H. van Binsbergen]的文章
必应学术
必应学术中相似的文章
[Jonathan B. Berk]的文章
[Jules H. van Binsbergen]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。