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Estimation and evaluation of conditional asset pricing models

Nagel, Stefan; Singleton, Kenneth J. - 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/10008697793

Estimation and evaluation of conditional asset pricing models

Nagel, Stefan; Singleton, Kenneth J. - In: The journal of finance : the journal of the American … 66 (2011) 3, pp. 873-910

Persistent link: https://www.econbiz.de/10009160333

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

Estimation and Evaluation of Conditional Asset Pricing Models

Nagel, Stefan - 2010

Persistent link: https://www.econbiz.de/10013137475

Empirical asset pricing : models and methods

Ferson, Wayne E. - 2019

) -- Applications of m-talk -- The three paradigms of empirical asset pricing -- Mean-variance models -- Mean efficiency and the capm … methods and multiple comparisons -- Investment performance evaluation -- Classical investment performance evaluation … -- Conditional investment performance evaluation -- Term structure and bond fund performance -- Investment performance evaluation: a …