Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/60554 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
Staff Report No. 265
Verlag: 
Federal Reserve Bank of New York, New York, NY
Zusammenfassung: 
Hansen and Jagannathan (1997) have developed two measures of pricing errors for asset pricing models: the maximum pricing error in all static portfolios of the test assets and the maximum pricing error in all contingent claims of the assets. In this paper, we develop simulation-based Bayesian inference for these measures. While the literature reports that the time-varying extensions substantially reduce pricing errors of classic models on the standard test assets, our analysis shows that the reduction is much smaller based on the second measure. Those time-varying models have pricing errors on the contingent claims of the test assets because their stochastic discount factors are often negative and admit arbitrage opportunities.
Schlagwörter: 
Bayesian inference, asset pricing, pricing errors, model comparison, contingent claims
JEL: 
G1
G12
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
351.24 kB





Publikationen in EconStor sind urheberrechtlich geschützt.