EconPapers    
Economics at your fingertips  
 

Evaluating Asset Pricing Models in a Simulated Multifactor Approach

Carlos Enrique Carrasco-Gutierrez and Wagner Piazza
Authors registered in the RePEc Author Service: Carlos Enrique Carrasco Gutierrez ()

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper a methodology to compare the performance of different stochastic discount factor (SDF) models is suggested. The starting point is the estimation of several factor models in which the choice of the fundamental factors comes from different procedures. Then, a Monte Carlo simulation is designed in order to simulate a set of gross returns with the objective of mimicking the temporal dependency and the observed covariance across gross returns. Finally, the artificial returns are used to investigate the performance of the competing asset pricing models through the Hansen & Jagannathan (1997) distance and some goodness-of-fit statistics of the pricing error. An empirical application is provided for the U.S. stock market.

Keywords: asset pricing; stochastic discount factor; Hansen-Jagannathan distance. (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2011, Revised 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/66063/1/MPRA_paper_66063.pdf original version (application/pdf)

Related works:
Journal Article: Evaluating Asset Pricing Models in a Simulated Multifactor Approach (2012) Downloads
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:pra:mprapa:66063

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2020-09-13
Handle: RePEc:pra:mprapa:66063