Evaluating the Specification Errors of Asset Pricing Models
收藏NBER2000-04-01 更新2025-01-04 收录
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https://www.nber.org/papers/w7661
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This paper examines the specification errors of several asset pricing models using the methodology of Hansen and Jagannathan (1997) and a common data set. The models are the CAPM, the Consumption CAPM, the Jagannathan and Wang (1996) conditional CAPM, the Campbell (1996) dynamic asset pricing model,
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美国国家经济研究局创建时间：
2000-04-01
