کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958274 | 928970 | 2012 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Hansen and Jagannathan (1997) have developed two measures of pricing errors for asset-pricing models: the maximum pricing error in all static portfolios of the test assets and the maximum pricing error in all contingent claims of the assets. In this paper, we develop simulation-based Bayesian inference for these measures. While the literature reports that the time-varying extensions substantially reduce pricing errors of classic models on the standard test assets, our analysis shows that the reduction is much smaller based on the second measure. Those time-varying models have large pricing errors on the contingent claims of the test assets because their stochastic discount factors are often negative and admit arbitrage opportunities.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 19, Issue 1, January 2012, Pages 65–78
Journal: Journal of Empirical Finance - Volume 19, Issue 1, January 2012, Pages 65–78
نویسندگان
Zhenyu Wang, Xiaoyan Zhang,