Econometric Evaluation of Asset Pricing Models

65 Pages Posted: 24 Jul 2000 Last revised: 14 Mar 2008

See all articles by Lars Peter Hansen

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

Multiple version iconThere are 2 versions of this paper

Date Written: October 1993

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 incorportes 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.

Suggested Citation

Hansen, Lars Peter and Luttmer, Erzo G. J. and Heaton, John C, Econometric Evaluation of Asset Pricing Models (October 1993). NBER Working Paper No. t0145. Available at SSRN: https://ssrn.com/abstract=225106

Lars Peter Hansen (Contact Author)

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Erzo G. J. Luttmer

University of Minnesota - Twin Cities - Department of Economics ( email )

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HOME PAGE: http://www.econ.umn.edu/~luttmer

John C Heaton

University of Chicago - Finance ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

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