Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models
Bibliographic Data
| ID | 19418128 |
|---|---|
| Authors | Pierluigi Balduzzi (0000-0002-9520-8001, Boston College), Cesare Robotti (Federal Reserve Bank of Atlanta) |
| Year | 2008 |
| Volume | 26 |
| Issue | 3 |
| Pages | 354-368 |
| Publication date | 2008-07-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500108000000042 |
| OpenAlex | W3125418265 |
| Language | EN |
| Citations received | 1 |
| References cited | 39 |
We consider two formulations of the linear factor model (LFM) with nontraded factors. In the first formulation, LFM, risk premia and alphas are estimated by a cross-sectional regression of average returns on betas. In the second formulation, LFM**, the factors are replaced by their projections on the span of excess returns, and risk premia and alphas are estimated by time series regressions. We compare the two formulations and study the small-sample properties of estimates and test statistics. We conclude that the LFM** formulation should be considered in addition to, or even instead of, the more traditional LFM formulation. For corrected versions of Tables 2, 6, and 7, please see the supplemental files posted with this article
Econometrics · Economics · Linear regression · Regression · Risk premium · Statistics · Financial Markets and Investment Strategies · Financial Reporting and Valuation Research · Mathematics · Monetary Policy and Economic Impact
Common risk factors in the returns on stocks and bonds
An Intertemporal Capital Asset Pricing Model
Large Sample Properties of Generalized Method of Moments Estimators
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
The Variation of Economic Risk Premiums
Risk, Return, and Equilibrium
Risk, Return, and Equilibrium
Asset Pricing with Heterogeneous Consumers and Limited Participation
| Citations per year | 0.2 |
|---|---|
| Citation span | 2021 - 2021 (1) |
| Highly cited | No |