Efficient, Regression-Based Estimation of Dynamic Asset Pricing Models
نویسندگان
چکیده
منابع مشابه
Consumption-Based Asset Pricing Models
A major research initiative in finance focuses on the determinants of the cross-sectional and time series properties of asset returns. With that objective in mind, asset pricing models have been developed, starting with the capital asset pricing models of Sharpe (1964), Lintner (1965), andMossin (1966). Consumption-based asset pricing models use marginal rates of substitution to determine the r...
متن کاملConsumption-Based Asset Pricing with Recursive Utility
In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...
متن کاملDynamic Leverage Asset Pricing∗
We empirically investigate predictions from alternative intermediary asset pricing theories. The theories distinguish themselves in their use of intermediary equity or leverage as pricing factors or forecasting variables. We find strong support for a parsimonious dynamic pricing model based on broker-dealer leverage as the return forecasting variable and shocks to broker-dealer leverage as a cr...
متن کاملEstimation and Evaluation of Conditional Asset Pricing Models
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 conclusions we address two methodological issues that are central to assessing the goodness-of-fit of asse...
متن کاملConsistent estimation of asset pricing models using generalized spectral estimator
This paper essentially extends the generalized spectral estimation of Berkowitz (2001) to provide a consistent generalized spectral estimator (GSE), considering all the information available, possibly with in nite dimensions, based upon Escanciano (2006). Our estimator can entertain the strengths of the Berkowitz-GSE over the standard GMM. In contrast, more importantly, the newly proposed estim...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.1837531