Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

• 成果类型: Article
• 署名作者: Kan, Raymond; Robotti, Cesare; Shanken, Jay
• 署名单位: University of Toronto; Emory University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12035
• 发表日期: 2013
• 页码: 2617-2649
• 关键词: generalized-method; RISK; tests; consumption; selection; returns

摘要

Over the years, many asset pricing studies have employed the sample cross-sectional regression (CSR) R-2 as a measure of model performance. We derive the asymptotic distribution of this statistic and develop associated model comparison tests, taking into account the impact of model misspecification on the variability of the CSR estimates. We encounter several examples of large R-2 differences that are not statistically significant. A version of the intertemporal capital asset pricing model (CAPM) exhibits the best overall performance, followed by the Fama-French three-factor model. Interestingly, the performance of prominent consumption CAPMs is sensitive to variations in experimental design.