论文检索

从个体资产横截面估计风险溢价AI 解读

We propose the continuous updating estimator (CUE) for estimating ex-post risk premia from large cross-sections of individual asset returns over limited time periods. We analyze its properties while also allowing for an unknown number of unobserved factors. The CUE then provides an estimator of its, so-called, pseudo-true value, i . e . , the risk premia on the observed factors without assuming that they comprise all priced factors. We develop size-correct procedures for…

连续更新 GMM 的双重稳健推断AI 解读

We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the minimizer of the population continuous updating objective function. The (bounding) χ 2 limiting distribution of the DRLM statistic is robust to both misspecification and weak identification, hence its name. The minimizer is the so‐called pseudo‐true value, which equals the true value of the structural parameter under correct specification. To emphasize its importance for…

消费型资产定价的稳健推断AI 解读

ABSTRACT The reliability of traditional asset pricing tests depends on: (i) the correlations between asset returns and factors; (ii) the time series sample size T compared to the number of assets N . For macro‐risk factors, like consumption growth, (i) and (ii) are often such that traditional tests cannot be trusted. We extend the Gibbons‐Ross‐Shanken statistic to test identification of risk premia and construct their 95% confidence sets. These sets are wide or unbounded…

未解释因子对第二步回归拟合优度的影响AI 解读

We construct the large sample distributions of the OLS and GLS R2’s of the second pass regression of the Fama and MacBeth (1973) two pass procedure when the observed proxy factors are minorly correlated with the true unobserved factors. This implies an unexplained factor structure in the first pass residuals and, consequently, a large estimation error in the estimated beta’s which is spanned by the beta’s of the unexplained true factors. The average portfolio returns and the…