Download This PaperOnline Appendix for 'Measuring the 'Dark Matter' in Asset Pricing Models'
45 Pages Posted: 21 Oct 2019 Last revised: 25 Jan 2022
Date Written: January 25, 2022
Abstract
This is the supplemental material to the paper titled "Measuring 'Dark Matter' in Asset Pricing Models." It includes detailed derivations, as well as additional empirical and theoretical results.
Keywords: Fragile beliefs, Unstable models, Misspecification and robustness, Out-of-sample fit, Semiparametric information bounds.
JEL Classification: C52, G12, D81, E32
Suggested Citation: Suggested Citation
Hui Chen
Massachusetts Institute of Technology ( email )
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