 Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bondsMarie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf and Olena Melin Journal of Econometrics, 2023, vol. 236, issue 1 Abstract: This paper proposes inference strategies for conditional and unconditional asset pricing models, which cover beta pricing, the zero-beta rate, risk prices, Jensen’s alphas, mean–variance spanning and intersection. We derive analytical conditions that link the identification of the zero-beta rate to spanning. Following finite-sample statistical considerations, the proposed procedures correct for measurement error with mimicking portfolios, and are invariant to fund repacking as well as and robust to: (i) missing factors, (ii) identification of risk price, and (iii) the quality of conditioning information. Empirically, we study benchmark neutrality of Catastrophe bond mutual funds. Results show that potential for diversification is significant before the 2008 financial crisis, yet lack support thereafter. Keywords: Identification-robust inference; Asset pricing; Spanning; Benchmark neutrality; Mimicking portfolios; Missing factors (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001586 DOI: 10.1016/j.jeconom.2023.04.008 Access Statistics for this article Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson More articles in Journal of Econometrics from Elsevier |
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