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Empirical evaluation of asset-pricing models : a comparison of the SDF and beta methods

Jagannathan, Ravi - ; Wang, Zhenyu - ;

The stochastic discount factor ( SDF ) method provides a unified general framework for econometric analysis of asset-pricing models. There have been concerns that, compared to the classical beta method, the generality of the SDF method comes at the cost of efficiency in parameter estimation and power in specification tests. We establish the correct framework for comparing the two methods and show that the SDF method is as efficient as the beta method for estimating risk premiums..Printed Journal


Ketersediaan

Call NumberLocationAvailable
-PSB lt.dasar - Pascasarjana1
Penerbit: The American Finance Association
Edisi-
Subjek-
ISBN/ISSN00221082
Klasifikasi-
Deskripsi Fisik-
Info Detail Spesifik-
Other Version/RelatedTidak tersedia versi lain
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