Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors

• 成果类型: Article
• 署名作者: Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Toronto; Imperial College London
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht135
• 发表日期: 2014
• 页码: 2139
• 关键词: CROSS-SECTIONAL TEST; FALSE DISCOVERIES; tests; premia; performance

摘要

This paper shows that in misspecified models with risk factors that are uncorrelated with the test asset returns, the conventional inference methods tend to erroneously conclude, with high probability, that these factors are priced. Our proposed model selection procedure, which is robust to identification failure and potential model misspecification, restores the standard inference and proves to be effective in eliminating factors that do not improve the model's pricing ability. Applying our methodology to several popular asset-pricing models suggests that only the market and book-to-market factors appear to be priced, while the statistical evidence on the pricing ability of many macroeconomic factors is rather weak.