Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/60952 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
Staff Report No. 493
Verlag: 
Federal Reserve Bank of New York, New York, NY
Zusammenfassung: 
We study regression-based estimators for beta representations of dynamic asset pricing models with affine and exponentially affine pricing kernel specifications. These estimators extend static cross-sectional asset pricing estimators to settings where prices of risk vary with observed state variables. We identify conditions under which four-stage regression-based estimators are efficient and also present alternative, closed-form linearized maximum likelihood (LML) estimators. We provide multi-stage standard errors necessary to conduct inference for asset pricing tests. In empirical applications, we find that time-varying prices of risk are pervasive, thus favoring dynamic cross-sectional asset pricing models over standard unconditional specifications.
Schlagwörter: 
dynamic asset pricing
Fama-MacBeth regressions
financial econometrics
JEL: 
E58
G28
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
441.54 kB





Publikationen in EconStor sind urheberrechtlich geschützt.