Econometric Evaluation of Asset Pricing Models (Classic Reprint): August, 1993 - Couverture souple

Hansen, Lars Peter Carolina Society Of The Daughters Of The

Couverture souple

ISBN 10 : 133027833X ISBN 13 : 9781330278338

Editeur : Forgotten Books, 2018

Synopsis

How to judge asset pricing models with rigorous econometric tests This book explains how a stochastic discount factor links theory to real market data. It shows practical tests and bounds to assess whether a model prices assets correctly, even when markets have frictions like trading costs or short-sale constraints.

You’ll explore the core idea that asset prices reflect a pricing kernel that varies with risk. The text presents methods to estimate feasible regions for the mean and volatility of this factor, and to test whether a proposed model lies within those bounds. It also discusses how to handle incomplete observations of the discount factor and how to use bounds to compare competing models.

• Understand how the stochastic discount factor connects payoffs to prices under different market frictions.


• Learn about specification-error and volatility bounds that help evaluate models without perfect pricing accuracy.


• See how region subset tests and GMM-based approaches can test whether a model’s discount factor is informative or too volatile.


• Get guidance on estimating feasible regions and applying them to real asset data with short-sale constraints or transaction costs.

Ideal for researchers and practitioners who want a principled, data-driven approach to asset pricing model evaluation and inference.

A propos du livre

Présentation de l'éditeur

Excerpt from Econometric Evaluation of Asset Pricing Models: August, 1993

Thus a stochastic discount factor m discounts payoffs in each state of the world and, as a consequence, adjusts the price according to the riskiness of the payoff. From the vantage point of an empirical analysis, we envision the stochastic discount factor as the vehicle linking a theoretical model to observable implications.

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Détails de l'édition

• Éditeur: Forgotten Books
• Date d'édition: 2018
• Langue: anglais
• ISBN 10: 133027833X
• ISBN 13: 9781330278338
• Reliure: Broché
• Nombre de pages: 72
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