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ON THE ESTIMATION OF BETA-PRICING MODELS

成果类型：

Article

署名作者：

SHANKEN, J

署名单位：

Carnegie Mellon University

刊物名称：

REVIEW OF FINANCIAL STUDIES

ISSN/ISSBN：

0893-9454

DOI：

10.1093/rfs/5.1.1

发表日期：

1992

页码：

关键词：

MULTIVARIATE TESTS portfolio efficiency empirical tests EQUILIBRIUM-APT FINITE ECONOMY asset CAPM consumption arbitrage return

摘要：

An integrated econometric view of maximum likelihood methods and more traditional two-pass approaches to estimating beta-pricing models is presented. Several aspects of the well-known errors-in-variables problem are considered, and an earlier conjecture concerning the merits of simultaneous estimation of beta and price of risk parameters is evaluated. The traditional inference procedure is found, under standard assumptions, to overstate the precision of price of risk estimates and an asymptotically valid correction is derived. Modifications to accommodate serial correlation in market-wide factors are also discussed.