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Robust Inference for Consumption-Based Asset Pricing
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DOI：10.1111/jofi.12855.png)
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Abstract
En 中文
The reliability of traditional asset pricing tests depends on: (i) the correlations between asset returns and factors; (ii) the time series sample size T compared to the number of assets N. For macro-risk factors, like consumption growth, (i) and (ii) are often such that traditional tests cannot be trusted. We extend the Gibbons-Ross-Shanken statistic to test identification of risk premia and construct their 95% confidence sets. These sets are wide or unbounded when T and N are close, but show that average returns are not fully spanned by betas when T exceeds N considerably. Our findings indicate when meaningful empirical inference is feasible.
Keywords:
RISK PREMIA
MIMICKING PORTFOLIOS
GENERALIZED-METHOD
CROSS-SECTION
MODELS
IDENTIFICATION
TESTS
GMM
APPROXIMATIONS
PARAMETERS
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