Empirical evaluation of overspecified asset pricing models

• 成果类型: Article
• 署名作者: Manresa, Elena; Penaranda, Francisco; Sentana, Enrique
• 署名单位: New York University; City University of New York (CUNY) System; Queens College NY (CUNY)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.10.002
• 发表日期: 2023
• 页码: 338-351
• 关键词: Factor pricing models; Set estimation; stochastic discount factor; Underidentification tests; Continuously updated GMM

摘要

Empirical asset pricing models with possibly unnecessary risk factors are increasingly com-mon. Unfortunately, they can yield misleading statistical inferences. Unlike previous stud-ies, we estimate the identified set of SDFs and risk prices compatible with a given model's asset pricing restrictions. We also propose tests that detect problematic situations with economically meaningless SDFs unrelated to the test assets. Empirically, we estimate linear subspaces of SDFs compatible with popular extensions of the traditional and consumption versions of the CAPM, which are typically two-dimensional. Moreover, we often find that all the SDFs in those linear spaces are uncorrelated with the test assets' returns.(c) 2022 Elsevier B.V. All rights reserved.