Econometric evaluation of asset pricing models

Wayne Ferson () and Ravi Jagannathan

No 206, Staff Report from Federal Reserve Bank of Minneapolis

Abstract: We provide a brief review of the techniques that are based on the Generalized Method of Moments (GMM) and used for evaluating capital asset pricing models. We first develop the CAPM and multi-beta models and discuss the classical two-stage regression method originally used to evaluate them. We then describe the pricing kernel representation of a generic asset pricing model; this representation facilitates use of the GMM in a natural way for evaluating the conditional and unconditional versions of most asset pricing models. We also discuss diagnostic methods that provide additional insights.

Keywords: capital; asset; pricing; model (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedmsr:206

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