| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20435 |
| 来源ID | Working 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 |
| URL | https://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。 | |||||
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