The out-of-sample performance of long run risk models

• 成果类型: Article
• 署名作者: Ferson, Wayne; Nallareddy, Suresh; Xie, Biqin
• 署名单位: University of Southern California; Columbia University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.09.006
• 发表日期: 2013
• 页码: 537-556
• 关键词: Long-run risk models; Out-of-sample

摘要

This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931-2009. The long-run risk models perform relatively well on the momentum effect. A cointegrated version of the model outperforms the classical, stationary version. Both the long-run and the short-run consumption shocks in the models are empirically important for the models' performance. The models' average pricing errors are especially small in the decades from the 1950s to the 1990s. When we restrict the risk premiums to identify structural parameters, this results in larger average pricing errors but often smaller error variances. The mean squared errors are not substantially better than those of the classical CAPM, except for Momentum. (C) 2012 Elsevier BA. All rights reserved.