A unifying approach to the empirical evaluation of asset pricing models

Welcome to the UPF Digital Repository

Peñaranda, Francisco; Sentana, Enrique. A unifying approach to the empirical evaluation of asset pricing models. 2010
http://hdl.handle.net/10230/6345
To cite or link this document: http://hdl.handle.net/10230/6345
dc.contributor.author Peñaranda, Francisco
dc.contributor.author Sentana, Enrique
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.issued 2010-07-01
dc.identifier.uri http://hdl.handle.net/10230/6345
dc.description.abstract Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM yield numerically identical values for prices of risk, pricing errors, Jensen’s alphas and overidentifying restrictions tests irrespective of the model validity. Therefore, there is arguably a single approach regardless of the factors being traded or not, or the use of excess or gross returns. We illustrate our results by revisiting Lustig and Verdelhan’s (2007) empirical analysis of currency returns.
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 1229
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title A unifying approach to the empirical evaluation of asset pricing models
dc.type info:eu-repo/semantics/workingPaper
dc.date.modified 2014-06-03T07:14:26Z
dc.subject.keyword Finance and Accounting
dc.subject.keyword Statistics, Econometrics and Quantitative Methods
dc.subject.keyword cu-gmm
dc.subject.keyword factor pricing models
dc.subject.keyword forward premium puzzle
dc.subject.keyword generalised empirical likelihood
dc.subject.keyword stochastic discount factor.
dc.rights.accessRights info:eu-repo/semantics/openAccess


See full text
This document is licensed under a Creative Commons license:

Search


Advanced Search

Browse

My Account

Statistics