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Testing for the Lucas critique : a quantitative investigation

Lindé, Jesper - In: The American economic review 91 (2001) 4, pp. 986-1005

Persistent link: https://www.econbiz.de/10001612505

Conditioning Information and Variance Bounds on Pricing Kernels

Bekaert, Geert - 2000

We show how to use conditioning information optimally to construct a sharper unconditional Hansen-Jagannathan (1991) bound. The approach in this paper is different from that of Gallant, Hansen and Tauchen (1990), but both approaches yield the same bound when the conditional moments are known....

Persistent link: https://www.econbiz.de/10012788973

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

Aït-Sahalia, Yacine - 2010

theory for this estimator to gauge its accuracy. The SPD estimator provides an arbitrage-free method of pricing new, more …

Persistent link: https://www.econbiz.de/10012763707

Tests of International CAPM with Time-Varying Covariances

Engel, Charles - 2008

We perform maximum likelihood estimation of a model of international asset pricing based on CAPM. We test the … restrictions imposed by CAPM against a more general asset pricing model. The quot;betasquot; in our CAPM vary over time from two … estimate. We find that the model in which the CAPM restrictions are imposed (which involve cross-equation constraints between …

Persistent link: https://www.econbiz.de/10012774612

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

Evaluating the Specification Errors of Asset Pricing Models

Hodrick, Robert J.; Zhang, Xiaoyan - 2021

Jagannathan (1997) and a common data set. The models are the CAPM, the Consumption CAPM, the Jagannathan and Wang (1996 …) conditional CAPM, the Campbell (1996) dynamic asset pricing model, the Cochrane (1996) production-based model, and the Fama …

Persistent link: https://www.econbiz.de/10013244733

Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns

Burnside, A. Craig - 2010

When excess returns are used to estimate linear stochastic discount factor (SDF) models, researchers often adopt a normalization of the SDF that sets its mean to 1, or one that sets its intercept to 1. These normalizations are often treated as equivalent, but they are subtly different both in...

Persistent link: https://www.econbiz.de/10013134862

Estimation and Evaluation of Conditional Asset Pricing Models

Nagel, Stefan - 2010

We find that several recently proposed consumption-based models of stock returns, when evaluated using an optimal set of managed portfolios and the associated model-implied conditional moment restrictions, fail to capture key features of risk premiums in equity markets. To arrive at these...

Persistent link: https://www.econbiz.de/10013137023

Portfolio Inefficiency and the Cross-Section of Expected Returns

Kandel, Shmuel - 2011

A plot of expected returns versus betas obeys virtually no relation to an inefficient index portfolio's mean-variance location. If the index portfolio is inefficient, then the coefficients and R- squared from an ordinary-least-squares regression of expected returns on betas can equal essentially...

Persistent link: https://www.econbiz.de/10013118691

Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

Belo, Frederico - 2012

Many leading asset pricing models predict that the term structures of expected returns and volatilities on dividend strips are strongly upward sloping. Yet the empirical evidence suggests otherwise. This discrepancy can be reconciled if these models replace their exogenously specified dividend...

Persistent link: https://www.econbiz.de/10013099417