By George M. Constantinides, Milton Harris, Rene M. Stulz
The 12 articles during this moment of two parts condense fresh advances on funding autos, functionality size and review, and hazard administration right into a coherent springboard for destiny research. Written through international leaders in asset pricing study, they current scholarship concerning the 2008 monetary trouble in contexts that spotlight either continuity and divergence in research. should you search authoritative views and demanding information, this quantity indicates how the bounds of asset pricing have extended and even as have grown sharper and more inclusive. Offers analyses by means of most sensible students of modern asset pricing scholarshipExplains how the 2008 monetary crises affected theoretical and empirical researchCovers middle and newly-developing fields
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Extra info for Handbook of the Economics of Finance, Volume 2B: Asset Pricing
Sample text
N , (40) and equating (39) and (40), we obtain the restriction (37). Notice that the time-series intercept restrictions (37) are distinct from the presumed inequality restriction (36) upon which Lewellen and Nagel (2006) focus. Although ignored in the published studies, the time-series intercept restrictions may be imposed and tested as follows. Consider the time-series regression of excess returns on factors: e Ri,t = ai = βi′ ft + εti , i = 1, 2, . . , N . Stacking the data on N asset returns and K factors into vectors, the moments for the unrestricted OLS time-series regression are a β′ ft ) (N ×1) (N ×k) (k×1) (N ×1) Et ( Rte Et = 0, a ft β′ (N ×1) (N ×k) (k×1) (N ×1) Rte ⊗ ft (k×1) = 0, where “ET ”denotes the sample mean in a sample of size T.
2010) leave open the question of why those macroeconomic models that do help explain returns are correlated with the Fama–French factors. One possibility is that the Fama–French factors are mimicking portfolios for the true sources of macroeconomic risk. In practice, however, models often can be distinguished statistically and we know that many macroeconomic models do not explain the size and book-market returns. Empirical findings such as those in LNS underscore the need for econometric tests that permit the statistical comparison of multiple competing models, allowing all models to be misspecified.
Although ignored in the published studies, the time-series intercept restrictions may be imposed and tested as follows. Consider the time-series regression of excess returns on factors: e Ri,t = ai = βi′ ft + εti , i = 1, 2, . . , N . Stacking the data on N asset returns and K factors into vectors, the moments for the unrestricted OLS time-series regression are a β′ ft ) (N ×1) (N ×k) (k×1) (N ×1) Et ( Rte Et = 0, a ft β′ (N ×1) (N ×k) (k×1) (N ×1) Rte ⊗ ft (k×1) = 0, where “ET ”denotes the sample mean in a sample of size T.