Measuring “Dark Matter” in Asset Pricing Models
收藏NBER2019-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w26418
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资源简介：
We formalize the concept of dark matter in asset pricing models by quantifying the additional informativeness of cross-equation restrictions about fundamental dynamics. The dark matter measure captures the degree of fragility for models that are potentially misspecified and unstable: a large dark
提供机构：
美国国家经济研究局
创建时间：
2019-12-01
