scholarly journals Pricing Error Reversal: A Diagnostic Test of Asset Pricing Models

2018 ◽  
Author(s):  
Ai He ◽  
Dashan Huang ◽  
Guofu Zhou
Keyword(s):  
Asset Pricing ◽  
Diagnostic Test ◽  
Pricing Models ◽  
Asset Pricing Models ◽  
Pricing Error

scholarly journals Avaliando Modelos de Precificação de Ativos via Abordagem de Fatores Simulados

2012 ◽  
Vol 10 (4) ◽  
pp. 425
Author(s):  
Carlos Enrique Carrasco-Gutierrez ◽  
Wagner Piazza Gaglianone
Keyword(s):  
Asset Pricing ◽  
Goodness Of Fit ◽  
Factor Models ◽  
Stochastic Discount Factor ◽  
Pricing Models ◽  
Fit Statistics ◽  
Asset Pricing Models ◽  
Starting Point ◽  
Pricing Error ◽  
The U.S

In this paper a methodology to compare the performance of different stochastic discount factor (SDF) models is suggested. The starting point is the estimation of several factor models in which the choice of the fundamental factors comes from different procedures. Then, a Monte Carlo simulation is designed in order to simulate a set of gross returns with the objective of mimicking the temporal dependency and the observed covariance across gross returns. Finally, the artificial returns are used to investigate the performance of the competing asset pricing models through the Hansen and Jagannathan (1997) distance and some goodness-of-fit statistics of the pricing error. An empirical application is provided for the U.S. stock market.

Implications of Predictability Across Horizons for Asset Pricing Models

2012 ◽  
Author(s):  
Carlo A. Favero ◽  
Fulvio Ortu ◽  
Andrea Tamoni ◽  
Haoxi Yang
Keyword(s):  
Asset Pricing ◽  
Pricing Models ◽  
Asset Pricing Models

Asset Pricing Models? - A Different Approach!

2013 ◽  
Author(s):  
Vladislav Vacek ◽  
Robert Gottfried Kuklik
Keyword(s):  
Asset Pricing ◽  
Pricing Models ◽  
Asset Pricing Models
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