Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds
识别稳健的贝塔定价、张成检验、模拟组合与巨灾债券基准中性
This paper proposes inference strategies for conditional and unconditional asset pricing models, which cover beta pricing, the zero-beta rate, risk prices, Jensen’s alphas, mean–variance spanning and intersection. We derive analytical conditions that link the identification of the zero-beta rate to spanning. Following finite-sample statistical considerations, the proposed procedures correct for measurement error with mimicking portfolios, and are invariant to fund repacking…