Online Appendix for 'Measuring the 'Dark Matter' in Asset Pricing Models'
20 Pages Posted: 21 Oct 2019
Date Written: September 30, 2019
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: Suggested Citation