A large-scale approach for evaluating asset pricing models

• 成果类型: Article
• 署名作者: Barras, Laurent
• 署名单位: McGill University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.05.007
• 发表日期: 2019
• 页码: 549-569
• 关键词: Asset pricing; model comparison; Large cross-section

摘要

Recent studies show that the standard test portfolios do not contain sufficient information to discriminate between asset pricing models. To address this issue, we develop a large-scale approach that expands the cross-section to several thousand portfolios. Our novel approach is simple, widely applicable, and allows for formal evaluation/comparison tests. Its benefits are confirmed in empirical tests of CAPM- and characteristic-based models. While these models are all misspecified, we uncover striking performance differences between them. In particular, the human capital and conditional CAPMs largely outperform the CAPM, which suggests that labor income and time-varying recession risks are primary concerns for investors. (C) 2019 Elsevier B.V. All rights reserved.