Abstract
We provide a brief review of the techniques that are based on the generalized method of moments (GMM) and used for evaluating capital asset pricing models. We first develop the CAPM and multi-beta models and discuss the classical two-stage regression method originally used to evaluate them. We then describe the pricing kernel representation of a generic asset pricing model; this representation facilitates use of the GMM in a natural way for evaluating the conditional and unconditional versions of most asset pricing models. We also discuss diagnostic methods that provide additional insights.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 1-33 |
| Number of pages | 33 |
| Journal | Handbook of Statistics |
| Volume | 14 |
| DOIs | |
| State | Published - Dec 1 1996 |
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ASJC Scopus subject areas
- Statistics and Probability
- Modeling and Simulation
- Applied Mathematics
Cite this
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1 Econometric evaluation of asset pricing models. / Ferson, Wayne E.; Jagannathan, Ravi.
In: Handbook of Statistics, Vol. 14, 01.12.1996, p. 1-33.Research output: Contribution to journal › Review article
TY - JOUR
T1 - 1 Econometric evaluation of asset pricing models
AU - Ferson, Wayne E.
AU - Jagannathan, Ravi
PY - 1996/12/1
Y1 - 1996/12/1
N2 - We provide a brief review of the techniques that are based on the generalized method of moments (GMM) and used for evaluating capital asset pricing models. We first develop the CAPM and multi-beta models and discuss the classical two-stage regression method originally used to evaluate them. We then describe the pricing kernel representation of a generic asset pricing model; this representation facilitates use of the GMM in a natural way for evaluating the conditional and unconditional versions of most asset pricing models. We also discuss diagnostic methods that provide additional insights.
AB - We provide a brief review of the techniques that are based on the generalized method of moments (GMM) and used for evaluating capital asset pricing models. We first develop the CAPM and multi-beta models and discuss the classical two-stage regression method originally used to evaluate them. We then describe the pricing kernel representation of a generic asset pricing model; this representation facilitates use of the GMM in a natural way for evaluating the conditional and unconditional versions of most asset pricing models. We also discuss diagnostic methods that provide additional insights.
UR - http://www.scopus.com/inward/record.url?scp=70350339493&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=70350339493&partnerID=8YFLogxK
U2 - 10.1016/S0169-7161(96)14003-7
DO - 10.1016/S0169-7161(96)14003-7
M3 - Review article
AN - SCOPUS:70350339493
VL - 14
SP - 1
EP - 33
JO - Handbook of Statistics
JF - Handbook of Statistics
SN - 0169-7161
ER -