| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21698 |
| 来源ID | Working Paper 21698 |
| Which Alpha? | |
| Francisco Barillas; Jay Shanken | |
| 发表日期 | 2015-11-09 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | A common approach to comparing asset pricing models with traded factors involves a competition between models in pricing test-asset returns. We find that such practice, while seemingly reasonable, cannot be relied on to determine which is the superior model for several widely accepted criteria including statistical likelihood, Sharpe ratios and a modified HJ distance. All that matters for model comparison is the extent to which each model is able to price the factors in the other model. Given this information, test assets are actually irrelevant, whether the models are nested or non-nested. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w21698 |
| 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/579373 |
| 推荐引用方式 GB/T 7714 | Francisco Barillas,Jay Shanken. Which Alpha?. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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。
