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

45 Pages Posted: 21 Oct 2019 Last revised: 25 Jan 2022

See all articles by Hui Chen

Hui Chen

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

Winston Wei Dou

The Wharton School, University of Pennsylvania; National Bureau of Economic Research (NBER)

Leonid Kogan

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

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

Chen, Hui and Dou, Winston Wei and Kogan, Leonid, Online Appendix for 'Measuring the 'Dark Matter' in Asset Pricing Models' (January 25, 2022). Available at SSRN: https://ssrn.com/abstract=3461503 or http://dx.doi.org/10.2139/ssrn.3461503

Hui Chen

Massachusetts Institute of Technology ( email )

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National Bureau of Economic Research (NBER) ( email )

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Winston Wei Dou (Contact Author)

The Wharton School, University of Pennsylvania ( email )

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HOME PAGE: http://www.nber.org/people/winston_wei_dou?page=1&perPage=50

Leonid Kogan

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

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617-258-6855 (Fax)

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

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