| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25361 |
| 来源ID | Working Paper 25361 |
| Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off | |
| Mikhail Chernov; Lars A. Lochstoer; Stig R. H. Lundeby | |
| 发表日期 | 2018-12-17 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We propose testing asset-pricing models using multi-horizon returns (MHR). MHR effectively generate a new set of test assets that are endogenous to the model and that identify a broad set of possible conditional misspecifications. We apply MHR-based testing to prominent linear factor models and show that these models typically do a poor job of pricing longer-horizon returns, with pricing errors of similar magnitude as the risk premiums they were designed to explain. We trace the errors to the conditional factor dynamics. Explicitly incorporating factor timing in the models often makes mispricing worse, posing a challenge for future research. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w25361 |
| 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/583035 |
| 推荐引用方式 GB/T 7714 | Mikhail Chernov,Lars A. Lochstoer,Stig R. H. Lundeby. Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off. 2018. |
| 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 | ||
| w25361.pdf（422KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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