New answers tagged asset-pricing
0
votes
Does including an additional pricing factor necessarily reduce the pricing errors?
Let me share some thoughts. They are not formulated in complete detail nor are they rigorously proven, but I hope the intuition is correct.
At the level of the population / data generating process
...
0
votes
Testing as in Fama & MacBeth vs. comparing models as in Cochrane's lecture notes
In this answer, the terms intercept, slope coefficient and $R^2$ refer to the true parameter values corresponding to the regression model in population. They do not refer to estimates unless ...
1
vote
Testing as in Fama & MacBeth vs. comparing models as in Cochrane's lecture notes
Both Fama & Macbeth and Cochrane are playing a bit loose, statistically, in their recommended procedures here. First off, numerical noise more or less guarantees that you will measure e.g. $\...
Top 50 recent answers are included
Related Tags
asset-pricing × 333capm × 48
fama-french × 43
factor-models × 38
option-pricing × 23
equities × 22
finance × 21
regression × 19
pricing × 17
econometrics × 16
no-arbitrage-theory × 15
time-series × 14
fixed-income × 13
risk-neutral-measure × 13
options × 12
black-scholes × 11
bond × 11
returns × 11
finance-mathematics × 11
estimation × 11
arbitrage × 10
stochastic-processes × 9
modern-portfolio-theory × 9
utility-theory × 9
programming × 8