FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2097200841> ?p ?o ?g. }

• W2097200841 abstract "Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as instruments for publicly available information. The different paradigms are associated with different empirical methods. We review the variance bounds of Hansen and Jagannathan (1991), concentrating on extensions for conditioning information. Hansen's (1982) Generalized Method of Moments (GMM) is briefly reviewed as an organizing principle. Then, cross-sectional regression approaches as developed by Fama and MacBeth (1973) are reviewed and used to interpret empirical factors, such as those advocated by Fama and French, 1993 and Fama and French, 1996 . Finally, we review the multivariate regression approach, popularized in the finance literature by Gibbons (1982) and others. A regression approach, with a beta pricing formulation, and a GMM approach with a stochastic discount factor formulation, may be considered competing paradigms for empirical work in asset pricing. This discussion clarifies the relations between the various approaches. Finally, we bring the models and methods together, with a review of the recent conditional performance evaluation literature, concentrating on mutual funds and pension funds." @default.
• W2097200841 created "2016-06-24" @default.
• W2097200841 creator A5079825598 @default.
• W2097200841 date "2003-01-01" @default.
• W2097200841 modified "2023-10-16" @default.
• W2097200841 title "Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance" @default.
• W2097200841 cites W101244132 @default.
• W2097200841 cites W1489634027 @default.
• W2097200841 cites W1493117078 @default.
• W2097200841 cites W1507739403 @default.
• W2097200841 cites W1513999151 @default.
• W2097200841 cites W1536779358 @default.
• W2097200841 cites W1548517564 @default.
• W2097200841 cites W1553598798 @default.
• W2097200841 cites W1568265841 @default.
• W2097200841 cites W1575641806 @default.
• W2097200841 cites W1584281525 @default.
• W2097200841 cites W1587665221 @default.
• W2097200841 cites W1596347046 @default.
• W2097200841 cites W1607636060 @default.
• W2097200841 cites W1863872995 @default.
• W2097200841 cites W1963969817 @default.
• W2097200841 cites W1973458764 @default.
• W2097200841 cites W1973563023 @default.
• W2097200841 cites W1975318534 @default.
• W2097200841 cites W1977295144 @default.
• W2097200841 cites W1978409019 @default.
• W2097200841 cites W1981602623 @default.
• W2097200841 cites W1983104153 @default.
• W2097200841 cites W1985901218 @default.
• W2097200841 cites W1988506776 @default.
• W2097200841 cites W1989898472 @default.
• W2097200841 cites W1992868019 @default.
• W2097200841 cites W1993715711 @default.
• W2097200841 cites W1995834279 @default.
• W2097200841 cites W1996473235 @default.
• W2097200841 cites W1998507386 @default.
• W2097200841 cites W2001605205 @default.
• W2097200841 cites W2003644932 @default.
• W2097200841 cites W2006808353 @default.
• W2097200841 cites W2007231976 @default.
• W2097200841 cites W2007785900 @default.
• W2097200841 cites W2010453662 @default.
• W2097200841 cites W2010681793 @default.
• W2097200841 cites W2010997253 @default.
• W2097200841 cites W2011043606 @default.
• W2097200841 cites W2011619229 @default.
• W2097200841 cites W2012301648 @default.
• W2097200841 cites W2012485912 @default.
• W2097200841 cites W2014648008 @default.
• W2097200841 cites W2015800048 @default.
• W2097200841 cites W2016116986 @default.
• W2097200841 cites W2016940815 @default.
• W2097200841 cites W2016971820 @default.
• W2097200841 cites W2024935505 @default.
• W2097200841 cites W2025713118 @default.
• W2097200841 cites W2027752836 @default.
• W2097200841 cites W2029056003 @default.
• W2097200841 cites W2030691535 @default.
• W2097200841 cites W2037666489 @default.
• W2097200841 cites W2038621549 @default.
• W2097200841 cites W2040495077 @default.
• W2097200841 cites W2042308485 @default.
• W2097200841 cites W2043619364 @default.
• W2097200841 cites W2044503966 @default.
• W2097200841 cites W2047134779 @default.
• W2097200841 cites W2054349855 @default.
• W2097200841 cites W2058987640 @default.
• W2097200841 cites W2066187538 @default.
• W2097200841 cites W2070231003 @default.
• W2097200841 cites W2072374693 @default.
• W2097200841 cites W2072643767 @default.
• W2097200841 cites W2077207288 @default.
• W2097200841 cites W2078870183 @default.
• W2097200841 cites W2079549578 @default.
• W2097200841 cites W2082330181 @default.
• W2097200841 cites W2083148578 @default.
• W2097200841 cites W2083558552 @default.
• W2097200841 cites W2083697222 @default.
• W2097200841 cites W2084050624 @default.
• W2097200841 cites W2089430585 @default.
• W2097200841 cites W2091437772 @default.
• W2097200841 cites W2093503007 @default.
• W2097200841 cites W2094869595 @default.
• W2097200841 cites W2096136442 @default.
• W2097200841 cites W2096369746 @default.
• W2097200841 cites W2096565264 @default.
• W2097200841 cites W2096720942 @default.
• W2097200841 cites W2098013681 @default.
• W2097200841 cites W2100967155 @default.
• W2097200841 cites W2102277992 @default.
• W2097200841 cites W2104795328 @default.
• W2097200841 cites W2106112075 @default.
• W2097200841 cites W2111187892 @default.
• W2097200841 cites W2111407110 @default.
• W2097200841 cites W2112797280 @default.
• W2097200841 cites W2113305199 @default.
• W2097200841 cites W2116988722 @default.
• W2097200841 cites W2117178635 @default.
• W2097200841 cites W2119143694 @default.

• next