Comparing asset pricing models:: an investment perspective

• 成果类型: Article
• 署名作者: Pástor, L; Stambaugh, RF
• 署名单位: University of Pennsylvania; University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(00)00044-1
• 发表日期: 2000
• 页码: 335-381
• 关键词: portfolio selection; Asset pricing models; investment constraints; Bayesian analysis

摘要

We investigate the portfolio choices of mean-variance-optimizing investors who use sample evidence to update prior beliefs centered on either risk-based or characteristic-based pricing models. With dogmatic beliefs in such models and an unconstrained ratio of position size to capital, optimal portfolios can differ across models to economically significant degrees. The differences are substantially reduced by modest uncertainty about the models' pricing abilities. When the ratio of position size to capital is subject to realistic constraints,the differences in portfolios across models become even less important and are nonexistent in some cases. (C) 2000 Elsevier Science S.A. All rights reserved.