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http://ssrn.com/abstract=6251
 
 

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Econometric Evaluation of Asset Pricing Models


Lars Peter Hansen


University of Chicago - Department of Economics; National Bureau of Economic Research (NBER)

Erzo G. J. Luttmer


University of Minnesota - Twin Cities - Department of Economics

John Heaton


University of Chicago - Finance


REVIEW OF FINANCIAL STUDIES, Vol 8 No 2

Abstract:     
In this paper we provide econometric tools for the evaluation of intertemporal asset pricing models using specification-error and volatility bounds. We formulate analog estimators of these bounds, give conditions for consistency and derive the limiting distribution of these estimators. The analysis incorporates market frictions such as short-sale constraints and proportional transactions costs. Among several applications we show how to use the methods to assess specific asset pricing models and to provide nonparametric characterizations of asset pricing anomalies.

JEL Classification: G12, C13

Accepted Paper Series


Not Available For Download

Date posted: August 29, 1998  

Suggested Citation

Hansen, Lars Peter and Luttmer, Erzo G. J. and Heaton, John, Econometric Evaluation of Asset Pricing Models. REVIEW OF FINANCIAL STUDIES, Vol 8 No 2. Available at SSRN: http://ssrn.com/abstract=6251

Contact Information

Lars Peter Hansen
University of Chicago - Department of Economics ( email )
1101 E 58th ST
Chicago, IL 60637
United States
773-702-8170 (Phone)
773-702-8490 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Erzo G. J. Luttmer
University of Minnesota - Twin Cities - Department of Economics ( email )
271 19th Avenue South
Minneapolis, MN 55455
United States
612-625-5054 (Phone)
612-624-0209 (Fax)
HOME PAGE: http://www.econ.umn.edu/~luttmer
John C Heaton (Contact Author)
University of Chicago - Finance ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
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