Empirical Evaluation of Asset‐Pricing Models: A Comparison of the SDF and Beta Methods

By Ravi Jagannathan, Zhenyu Wang. 2002

148 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/8c06160eb80f4f7feb15e4c12a4457105f810644

Citations in the corpus

• Macroeconomic risks and characteristic-based factor models (2010, unknown): “Jagannathan and Wang (2002) show that this methodology is as efficient as traditional methods to estimate risk premia and to compare 6 models.”
• Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations (2007, unknown): “16Kan and Zhou (1999) and Jagannathan and Wang (2002) consider a related application of GMM for a model with the (excess) zero-beta rate constrained to equal zero.”
• Empirical cross-sectional asset pricing: a survey (2011, unknown): “Jagannathan and Wang (1998) provide results for the case where the residuals may exhibit heteroskedasticity and autocorrelation.”