Evaluating the specification errors of asset pricing models

Journal of Financial Economics

Volumn 62, Issue 2, 2001, Pages 327-376

  Hodrick, Robert J ^a,b   Zhang, Xiaoyan ^a  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Asset pricing; C52; G11; G12; Hansen Jagannathan distance; Time varying risk prices

Indexed keywords

EID: 0035510969     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(01)00080-0     Document Type: Article

References (33)

1. Ahn, S., Gadarowski, C., 1999. Small sample properties of the model specification test based on the Hansen-Jagannathan distance. Unpublished working paper, Arizona State University.
2. Andrews D. Tests for parameter instability and structural change with unknown change point. Econometrica. 61:1993;821-856.
3. Breeden D. An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics. 7:1979;265-296.
4. Brennan M., Chordia T., Subrahmanyam A. Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. Journal of Financial Economics. 49:1998;345-373.
5. Campbell J. Intertemporal asset pricing without consumption data. American Economic Review. 83:1993;487-512.
6. Campbell J. Understanding risk and return. Journal of Political Economy. 104:1996;298-345.
7. Campbell J., Cochrane J. Explaining the poor performance of consumption-based asset pricing models. Journal of Finance. 55:2000;2863-2878.
8. Cochrane J. A cross-sectional test of an investment-based asset pricing model. Journal of Political Economy. 104:1996;572-621.
9. Daniel K., Titman S. Evidence on the characteristics of cross sectional variation in stock returns. Journal of Finance. 52:1997;1-33.
10. Daniel, K., Torous, W., 1995. Common stock returns and the business cycle. Unpublished working paper, Northwestern University.
11. Fama E., French K. The cross-section of expected stock returns. Journal of Finance. 47:1992;427-465.
12. Fama E., French K. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics. 33:1993;3-56.
13. Fama E., French K. Size and book-to-market factors in earnings and returns. Journal of Finance. 50:1995;131-155.
14. Fama E., French K. Multifactor explanations of asset pricing anomalies. Journal of Finance. 51:1996;55-84.
15. Ferson W., Harvey C. Conditioning variables and the cross section of stock returns. Journal of Finance. 54:1999;1325-1360.
16. Ghysels E. On stable factor structure in the pricing of risk: Do time-varying betas help or hurt? Journal of Finance. 53:1998;549-573.
17. Glasserman, P., Jin, Y., 1998. Comparing stochastic discount factors through their implied measures. Unpublished working paper, Columbia University.
18. Hanna, J., Ready, M., 1999. Profitable predictability in the cross-section of stock returns. Unpublished working paper, University of Wisconsin.
19. Hansen L. Large sample properties of generalized method of moments estimators. Econometrica. 50:1982;1029-1054.
20. Hansen L., Singleton K. Generalized instrumental variable estimation of nonlinear rational expectation models. Econometrica. 50:1982;1269-1286.
21. Hansen L., Jagannathan R. Assessing specification errors in stochastic discount factor models. Journal of Finance. 52:1997;557-590.
22. Hodrick R., Prescott E. Postwar U.S. business cycles: an empirical investigation. Journal of Money, Credit and Banking. 29:1997;1-16.
23. Jagannathan R., Wang Z. The conditional CAPM and the cross-section of expected returns. Journal of Finance. 51:1996;3-53.
24. Lettau M., Ludvigson S. Consumption, aggregate wealth and expected stock returns. Journal of Finance. 56:2001;815-849.
25. Lettau, M., Ludvigson, S., 2001b. Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time-varying. Journal of Financial Economics, forthcoming.
26. Liew J., Vassalou M. Can book-to-market, size, and momentum be risk factors that predict economic growth? Journal of Financial Economics. 57:2000;221-245.
27. Lintner J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics. 47:1965;13-37.
28. Loughran T. Book-to-market across firm size, exchange, and seasonality: is there an effect? Journal of Financial and Quantitative Analysis. 32:1997;249-268.
29. Luttmer E. Asset pricing in economies with frictions. Econometrica. 64:1996;1439-1467.
30. Merton R. An intertemporal capital asset pricing model. Econometrica. 41:1973;867-887.
31. Roll R. A critique of the asset pricing theory's test: part I: on past and potential testability of the theory. Journal of Financial Economics. 4:1977;129-176.
32. Sharpe W. Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance. 19:1964;425-442.
33. Vassalou, M., 2000. News related to future GDP growth as risk factors for equity returns. Unpublished working paper, Columbia University.