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A unifying approach to the empirical evaluation of asset pricing models

Mostra el registre parcial de l'element Peñaranda, Francisco Sentana, Enrique
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa 2017-07-26T10:50:08Z 2017-07-26T10:50:08Z 2010-07-01
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.title A unifying approach to the empirical evaluation of asset pricing models
dc.type info:eu-repo/semantics/workingPaper 2017-07-23T02:13:26Z
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.subject.keyword Finance and Accounting
dc.subject.keyword Statistics, Econometrics and Quantitative Methods
dc.rights.accessRights info:eu-repo/semantics/openAccess

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