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Econometric Evaluation of Asset Pricing Models / Lars Peter Hansen, John Heaton, Erzo G.J. Luttmer.
- Format:
- Book
- Author/Creator:
- Hansen, Lars Peter.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0145.
- NBER technical working paper series no. t0145
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1993.
- Summary:
- In this paper we provide econometric tools for the evaluation of intertemporal asset pricing models using specification-error and volatility bounds. We formulate analog estimators of these bounds, give conditions for consistency and derive the limiting distribution of these estimators. The analysis incorportes market frictions such as short-sale constraints and proportional transactions costs. Among several applications we show how to use the methods to assess specific asset pricing models and to provide nonparametric characterizations of asset pricing anomalies.
- Notes:
- Print version record
- October 1993.
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