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) |
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Pages (from-to) | 1-33 |
Number of pages | 33 |
Journal | Handbook of Statistics |
Volume | 14 |
DOIs | |
State | Published - 1996 |
ASJC Scopus subject areas
- Statistics and Probability
- Modeling and Simulation
- Applied Mathematics