A Skeptical Appraisal of Asset Pricing Tests
By J. Lewellen, Stefan Nagel, Jay Shanken. 2010
405 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/3098797a80465f9561a71b9c87342091f1046bed
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In Finance
- Eugene F. Fama
- Kenneth R. French
- W. Guay
- John E. Core
- Rodrigo S. Verdi
- Alex Edmans
- David F. Larcker
- Eric C. So
Citations in the corpus
- A Transaction-Cost Perspective on the Multitude of Firm Characteristics (2020, neutral): “Lewellen, Nagel, and Shanken (2010) recommends using GLS because its R2 captures the mean-variance efficiency of the model’s factor-mimicking portfolios.”
- Expected stock returns and variance risk premia (2007, neutral): “…whether the factor loadings for a set of portfolios with different risk characteristics are appropriately dispersed and whether the estimated loadings are actually statistically significant (Daniel and Titman, 2005; Lewellen and Nagel, 2006; Lewellen, Nagel, and Shanken, 2006; Burnside, 2006).”
- Asset Pricing: A Tale of Two Days (2014, neutral): “…is not statistically di¤erent from zero and that the implied risk premium is very close to the observed risk premium addresses the critique by Lewellen, Nagel, and Shanken (2010), who suggest that asset pricing tests focus on the implied risk premium and intercepts in cross-sectional…”
- Size, value, and momentum in international stock returns (2012, positive): “Following the recommendation of Lewellen, Nagel, and Shanken (2010), Table 3 also shows SR(a), the core of the GRS statistic: SRðaÞ ¼ ða 0 S À1 aÞ 1=2 , ð3Þ where a is the column vector of the 25 regression intercepts produced by a model when applied to 25 global or local size-B/M portfolios, and S…”
- Size, value, and momentum in emerging market stock returns (2013, neutral): “Moreover, in the language of Gibbons, Ross, and Shanken (1989), GRS, and Lewellen, Nagel, and Shanken (2010) the Sharpe ratios left unexplained by the model are substantially higher using US or Global Developed factors rather than local.”
- The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015, neutral): “The results are effectively unchanged by removing the 5 industry portfolios but we include them to obviate the econometric concerns expressed by Lewellen et al (2010).”