1 Econometric evaluation of asset pricing models

Wayne E. Ferson, Ravi Jagannathan

Research output: Contribution to journalReview article

12 Citations (Scopus)

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 languageEnglish (US)
Pages (from-to)1-33
Number of pages33
JournalHandbook of Statistics
Volume14
DOIs
StatePublished - Dec 1 1996

Fingerprint

Asset Pricing
Econometrics
Capital Asset Pricing Model
Generalized Method of Moments
Evaluation
Method of moments
Costs
Pricing
Diagnostics
Regression
Model
kernel
Evaluate

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 journalReview article

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