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Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
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DOI：10.1111/jofi.12035.png)
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Abstract
En 中文
Over the years, many asset pricing studies have employed the sample cross-sectional regression (CSR) R-2 as a measure of model performance. We derive the asymptotic distribution of this statistic and develop associated model comparison tests, taking into account the impact of model misspecification on the variability of the CSR estimates. We encounter several examples of large R-2 differences that are not statistically significant. A version of the intertemporal capital asset pricing model (CAPM) exhibits the best overall performance, followed by the Fama-French three-factor model. Interestingly, the performance of prominent consumption CAPMs is sensitive to variations in experimental design.
Keywords:
GENERALIZED-METHOD
RISK
TESTS
CONSUMPTION
SELECTION
RETURNS
Journal
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