Common pricing across asset classes: Empirical evidence revisited

• 成果类型: Article
• 署名作者: Gospodinov, Nikolay; Robotti, Cesare
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Warwick
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.12.001
• 发表日期: 2021
• 页码: 292-324
• 关键词: Intermediary asset pricing; Capital risk factor; Downside risk factor; Sharpe ratio; Efficient frontier; Model misspecification and identification; Small-sample inference

摘要

Intermediary and downside risk asset pricing theories lay the foundations for spanning the multi-asset return space by a small number of risk factors. Recent studies show strong empirical support for such factors across major asset classes. We revisit these results and show that robust evidence for common factor pricing remains elusive. Importantly, the proposed risk factors do not seem to provide incremental information to the traditional market factor. We argue that most of the economic and statistical challenges are not specific to these analyses and, with the aid of a placebo test, offer general recommendations for improving empirical practice, thus adding to the prescriptions in Lewellen et al. (2010). (C) 2020 Elsevier B.V. All rights reserved.