Assessing Asset Pricing Models Using Revealed Preference

Jonathan B. Berk and Jules van Binsbergen
Additional contact information
Jonathan B. Berk: Stanford University

Research Papers from Stanford University, Graduate School of Business

Abstract: We propose a new method of testing asset pricing models that relies on using quantities rather than simply prices or returns. We use the capital flows into and out of mutual funds to infer which risk model investors use. We derive a simple test statistic that allows us to infer, from a set of candidate models, the model that is closest to the model that investors use in making their capital allocation decisions. Using our method, we assess the performance of the most commonly used asset pricing models in the literature.

Date: 2015-03
New Economics Papers: this item is included in nep-ifn
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.gsb.stanford.edu/faculty-research/worki ... -revealed-preference

Related works:
Journal Article: Assessing asset pricing models using revealed preference (2016)
Working Paper: Assessing Asset Pricing Models Using Revealed Preference (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecl:stabus:3130

Access Statistics for this paper

More papers in Research Papers from Stanford University, Graduate School of Business Contact information at EDIRC.
Bibliographic data for series maintained by ().