Estimation and evaluation of conditional asset pricing models
By: Stefan Nagel, Kenneth J. Singleton
Contributors: Singleton, Kenneth J.; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16457; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16457.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] /
Description: "We find that several recently proposed consumption-based models of stock returns, when evaluated using an optimal set of managed portfolios and the associated model-implied conditional moment restrictions, fail to capture key features of risk premiums in equity markets.  To arrive at these conclusions, we construct an optimal GMM estimator for models in which the stochastic discount factor (SDF) is a conditionally affine function of a set of priced risk factors.  Further, for the (often relevant) case where a researcher is proposing a generalized SDF relative to some null model, we show that there is an optimal choice of managed portfolios to use in testing the null against the proposed alternative"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 1/4/2011.

Includes bibliographical references.

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