Peñaranda, FranciscoSentana, EnriqueUniversitat Pompeu Fabra. Departament d'Economia i Empresa2017-07-262017-07-262010-07-01http://hdl.handle.net/10230/6345Two 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.application/pdfengL'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commonsinfo:eu-repo/semantics/workingPapercu-gmmfactor pricing modelsforward premium puzzlegeneralised empirical likelihoodstochastic discount factor.Finance and AccountingStatistics, Econometrics and Quantitative Methodsinfo:eu-repo/semantics/openAccess