The Efficiency vs. Pricing Accuracy Trade-Off in GMM Estimation of Multifactor Linear Asset Pricing Models
多因子线性资产定价模型 GMM 估计中的效率与定价精度权衡AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要讨论多因子线性资产定价模型的 GMM 估计、Beta 与 SDF 表示及定价精度,直接对应资产定价与金融因子,并涉及因子模型这一计量方向。
多因子线性资产定价模型 GMM 估计中的效率与定价精度权衡AI 解读 ↓
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Even though a multi-factor linear asset pricing model can be equivalently represented in a Beta or in a stochastic discount factor (SDF) form, its inferential efficiency and pricing accuracy features may differ when estimated by the generalized method of moments (GMM), both in small and in large samples. We derive the analytical asymptotic variance of the Beta and the SDF estimators under GMM and find that the SDF approach is likely to be less efficient but to yield more accurate pricing than the Beta method. We show that the main drivers of this trade-off are the higher-order moments of the factors that play an important role in the estimation process.