Online Appendix for 'Measuring the 'Dark Matter' in Asset Pricing Models'

20 Pages Posted: 21 Oct 2019

See all articles by Hui Chen

Hui Chen

Massachusetts Institute of Technology; National Bureau of Economic Research (NBER)

Winston Dou

The Wharton School, University of Pennsylvania

Leonid Kogan

Massachusetts Institute of Technology (MIT) - Sloan School of Management; National Bureau of Economic Research (NBER)

Date Written: September 30, 2019

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, Time series, Out-of-sample fit, Disaster risk, Long-run risk, Semiparametric efficiency

JEL Classification: C52, G12, D81, E32

Suggested Citation

Chen, Hui and Dou, Winston and Kogan, Leonid, Online Appendix for 'Measuring the 'Dark Matter' in Asset Pricing Models' (September 30, 2019). Available at SSRN: https://ssrn.com/abstract=3461503 or http://dx.doi.org/10.2139/ssrn.3461503

Hui Chen

Massachusetts Institute of Technology ( email )

50 Memorial Drive
Cambridge, MA 02142
United States
617-324-3896 (Phone)

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Winston Dou (Contact Author)

The Wharton School, University of Pennsylvania ( email )

2318 Steinberg Hall - Dietrich Hall
3620 Locust Walk
Philadelphia, PA 19104
United States

Leonid Kogan

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

100 Main Street
E62-636
Cambridge, MA 02142
United States
617-253-2289 (Phone)
617-258-6855 (Fax)

HOME PAGE: http://web.mit.edu/lkogan2/www/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
7
Abstract Views
82
PlumX Metrics