Empirical Evaluation of Asset - Pricing Models : A Comparison of The SDF And Beta Methods  

Oleh:

Jagannathan, Ravi ; Wang, Zhenyu

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 5 (2002), page 2337-2367.
Topik: Empirical evaluation; studies; stochastic models; econometrics; beta; risk premiums; estimating techniques
Fulltext: p 2337.pdf (164.38KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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The stochastic discount factor (SDF) method provides a unified general framework for econometric analysis of asset - pricing models. There have been concerns that, compared to the classical beta method, the generality of the SDF method comes at the cost of efficiency in parameter estimation and power in specification tests. This paper establishes the correct framework for comparing the 2 methods and shows that the SDF method is as efficient as the beta method for estimating risk premiums. Also, the specification test based on the SDF method is as powerful as the one based on the beta method.

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