A simple test of misspecification for linear asset pricing models

IF 1.5 Q3 BUSINESS, FINANCE

Financial Markets and Portfolio Management Pub Date : 2024-02-22 DOI:10.1007/s11408-024-00445-6

Antoine Giannetti

引用次数: 0

Abstract

A fundamental implication of asset pricing theory is that investors must earn risk-premiums for bearing exposure to systematic risk. The two-pass cross-sectional regression is a popular approach for risk-premium estimation. The empirical literature has found that this approach often delivers estimates that significantly differ from their time-series counterparts. The paper explores a test of model misspecification that exploits the difference between cross-sectional and time-series risk-premium estimates. The suggested approach complements traditional misspecification tests and may be applied as an alternative to the deployment of misspecification-robust standard errors to test risk-premium significance.

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线性资产定价模型的简单错误检验

资产定价理论的一个基本含义是，投资者必须通过承担系统性风险来赚取风险溢价。两段式横截面回归是一种常用的风险溢价估算方法。实证文献发现，这种方法得出的估算结果往往与时间序列估算结果存在显著差异。本文利用横截面和时间序列风险溢价估算值之间的差异，探讨了一种检验模型失当的方法。所建议的方法补充了传统的失范检验方法，并可作为一种替代方法，用于检验风险溢价的显著性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Financial Markets and Portfolio Management BUSINESS, FINANCE-

CiteScore

3.20

自引率

0.00%

发文量

期刊介绍： The journal Financial Markets and Portfolio Management invites submissions of original research articles in all areas of finance, especially in – but not limited to – financial markets, portfolio choice and wealth management, asset pricing, risk management, and regulation. Its principal objective is to publish high-quality articles of innovative research and practical application. The readers of Financial Markets and Portfolio Management are academics and professionals in finance and economics, especially in the areas of asset management. FMPM publishes academic and applied research articles, shorter ''Perspectives'' and survey articles on current topics of interest to the financial community, as well as book reviews. All article submissions are subject to a double-blind peer review. http://www.fmpm.org Officially cited as: Financ Mark Portf Manag