Econometric Evaluation of Asset Pricing Models

Lars Peter Hansen, John Heaton and Erzo Luttmer

No 145, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: G12 (search for similar items in EconPapers)
Date: Written
Note: AP EFG
View list of references View citations in EconPapers

Downloads: (external link)
http://www.nber.org/papers/t0145.pdf (application/pdf)
Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html.

Related works:
Journal Article: Econometric Evaluation of Asset Pricing Models (1995)
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: http://EconPapers.repec.org/RePEc:nbr:nberte:0145

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/t0145
The price is Paper copy available by mail.

Access Statistics for this paper

More papers in NBER Technical Working Papers from National Bureau of Economic Research, Inc
Address: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Contact information at EDIRC.
Series data maintained by ().