A unifying approach to the empirical evaluation of asset pricing models

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• dc.contributor.author Peñaranda, Franciscoca
• dc.contributor.author Sentana, Enriqueca
• dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
• dc.date.accessioned 2017-07-26T10:50:08Z
• dc.date.available 2017-07-26T10:50:08Z
• dc.date.issued 2010-07-01
• dc.date.modified 2017-07-23T02:13:26Z
• 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.format.mimetype application/pdfca
• dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1229
• dc.identifier.uri http://hdl.handle.net/10230/6345
• 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.accessRights info:eu-repo/semantics/openAccess
• dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
• 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.title A unifying approach to the empirical evaluation of asset pricing modelsca
• dc.type info:eu-repo/semantics/workingPaper