Christensen, Bent Jesper; Dahl, Christian M.; Iglesias, … - School of Economics and Management, University of Aarhus - 2008
A new semiparametric estimator for an empirical asset pricing model with general nonparametric risk-return tradeoff and … consistent, asymptotically normal, and efficient, i.e. it achieves the semiparametric lower bound. A sampling experiment provides … evidence on finite sample properties as well as comparisons with the fully parametric approach and the iterative semiparametric …