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~person:"Drew, Michael E."
~person:"Hansen, Lars Peter"
~person:"He, Xue-zhong"
~person:"Lo, Andrew W."
~person:"Polk, Christopher"
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ECONIS (ZBW)
184
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3
Other ZBW resources
1
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11
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20
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188
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11
Assessing Specification Errors in Stochastic Discount Factor Models
Hansen, Lars Peter
;
Jagannathan, Ravi
-
2021
In this paper we develop alternative ways to compare asset pricing models when it is understood that their implied stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on x2 statistics associated with null hypothesis that models are correct, our measures of...
Persistent link: https://www.econbiz.de/10013225177
Saved in:
12
Cross-section instability in financial markets : impatience, extrapolation, and switching
Dieci, Roberto
;
He, Xue-zhong
- In:
Decisions in economics and finance : a journal of …
44
(
2021
)
2
,
pp. 727-754
Persistent link: https://www.econbiz.de/10012794989
Saved in:
13
What Drives Booms and Busts in Value?
Campbell, John Y.
;
Giglio, Stefano
;
Polk, Christopher
-
National Bureau of Economic Research
-
2023
interprets these returns through an intertemporal
CAPM
, which predicts that aggregate cash flow, discount rate, and volatility …
Persistent link: https://www.econbiz.de/10014436990
Saved in:
14
Robust Identification of investor beliefs
Chen, Xiaohong
;
Hansen, Lars Peter
;
Hansen, Peter G.
-
2020
-
This draft: May 14, 2020
Persistent link: https://www.econbiz.de/10012320533
Saved in:
15
Asset Pricing with Price Levels
Cho, Thummim
-
2020
pricing equation used to study returns. Our GMM test reveals that the
CAPM
describes the cross-section of prices noticeably … that book-to-market, quality, and size provide a parsimonious model of
CAPM
mispricing that both long-term buy …
Persistent link: https://www.econbiz.de/10012846334
Saved in:
16
Heterogeneous agent models in finance
Dieci, Roberto
;
He, Xue-zhong
-
2018
Persistent link: https://www.econbiz.de/10013253829
Saved in:
17
Spectral factor models
Bandi, Federico M.
;
Chaudhuri, Shomesh E.
;
Lo, Andrew W.
; …
- In:
Journal of financial economics
142
(
2021
)
1
,
pp. 214-238
Persistent link: https://www.econbiz.de/10012650703
Saved in:
18
Macroeconomic uncertainty prices when beliefs are tenuous
Hansen, Lars Peter
;
Sargent, Thomas J.
- In:
Journal of econometrics
223
(
2021
)
1
,
pp. 222-250
Persistent link: https://www.econbiz.de/10012619969
Saved in:
19
Twisted probabilities, uncertainty, and prices
Hansen, Lars Peter
;
Szőke, Bálint
;
Han, Lloyd S.
; …
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 151-174
Persistent link: https://www.econbiz.de/10012439662
Saved in:
20
Comment on: pseudo-true SDFs in conditional asset pricing models
Hansen, Lars Peter
- In:
Journal of financial econometrics
18
(
2020
)
4
,
pp. 715-720
Persistent link: https://www.econbiz.de/10012405515
Saved in:
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