1 Econometric evaluation of asset pricing models

Wayne E. Ferson; Ravi Jagannathan

doi:10.1016/S0169-7161(96)14003-7

1 Econometric evaluation of asset pricing models

Wayne E. Ferson, Ravi Jagannathan

Finance

Research output: Contribution to journal › Review article › peer-review

12 Scopus citations

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	https://doi.org/10.1016/S0169-7161(96)14003-7
State	Published - Dec 1 1996

ASJC Scopus subject areas

Statistics and Probability
Modeling and Simulation
Applied Mathematics

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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.

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