Assessing asset pricing models using revealed preference

• 成果类型: Article
• 署名作者: Berk, Jonathan B.; van Binsbergen, Jules H.
• 署名单位: Stanford University; National Bureau of Economic Research; University of Pennsylvania; Tilburg University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.08.010
• 发表日期: 2016
• 页码: 1-23
• 关键词: Asset Pricing Test; factor models; CAPM; Mutual funds; FLOWS

摘要

We propose a new method of testing asset pricing models that relies on quantities rather than just prices or returns. We use the capital flows into and out of mutual funds to infer which risk model investors use. We derive a simple test statistic that allows us to infer, from a set of candidate models, the risk model that is closest to the model that investors use in making their capital allocation decisions. Using our method, we assess the performance of the most commonly used asset pricing models in the literature. (C) 2015 Elsevier B.V. All rights reserved.