A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
Bibliographic Data
| ID | 19318655 |
|---|---|
| Authors | Francisco Peñaranda (0000-0002-3977-0139), Enrique Sentana (0000-0003-2328-909X, Centro de Estudios Monetarios y Financieros) |
| Year | 2015 |
| Volume | 97 |
| Issue | 2 |
| Pages | 412-435 |
| Publication date | 2015-05-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | The Review of Economics and Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0034-6535 • E-ISSN: 1530-9142 |
| Publisher | MIT Press - Journals (PUBLISHER) |
| DOI | 10.1162/rest_a_00474 |
| OpenAlex | W2107881243 |
| Language | EN |
| Citations received | 1 |
| References cited | 47 |
Regression and SDF approaches with centered or uncentered moments and symmetric or asymmetric normalizations are commonly used to empirically evaluate linear factor pricing models. We show that unlike two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM yield numerically identical risk prices, pricing errors, and overidentifying restrictions tests irrespective of the model validity and regardless of the factors being traded, or the use of excess or gross returns. We illustrate our results with Lustig and Verdelhan’s (2007) currency returns, propose tests to detect some problematic cases, and provide Monte Carlo evidence on the reliability of asymptotic approximations
Capital asset pricing model · Econometrics · Economics · Estimator · Generalized method of moments · Monte Carlo method · Statistics · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling · Mathematics · Monetary Policy and Economic Impact
The arbitrage theory of capital asset pricing
Common risk factors in the returns on stocks and bonds
Equilibrium in a Capital Asset Market
Asset Prices in an Exchange Economy
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns
Multiple Hypothesis Testing
Large Sample Properties of Generalized Method of Moments Estimators
Finite-Sample Properties of Some Alternative GMM Estimators
Further Results on the Limiting Distribution of GMM Sample Moment Conditions
Implications of Security Market Data for Models of Dynamic Economies
Beyond Arbitrage
Consumption Risk and the Cross Section of Expected Returns
| Unique citing works | 1 |
|---|---|
| Citations per year | 0,25 |
| Citation span | 2022 - 2022 (1) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 1 |