Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors
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下载链接：
https://www.nber.org/papers/w13357
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资源简介：
The risk factors in many consumption-based asset pricing models display statistically weak correlation with the returns being priced. Some GMM-based procedures used to test these models have very low power to reject proposed stochastic discount factors (SDFs) when they are misspecified and the
提供机构：
美国国家经济研究局
创建时间：
2007-08-01
