{"title":"Econometrics of Asset Pricing: Methodological Review and Empirical Exercise","authors":"Martín Lozano","doi":"10.2139/SSRN.1754762","DOIUrl":null,"url":null,"abstract":"This review summarizes some of the methodology currently available for estimating and evaluating Beta and stochastic discount factor (SDF) models such as time-series regression, cross-sectional regression, Fama-MacBeth procedure, and the generalized method of moments (GMM). The Fama-French and Carhart models are estimated following this review.","PeriodicalId":366327,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics (Topic)","volume":"244 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2009-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/SSRN.1754762","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
This review summarizes some of the methodology currently available for estimating and evaluating Beta and stochastic discount factor (SDF) models such as time-series regression, cross-sectional regression, Fama-MacBeth procedure, and the generalized method of moments (GMM). The Fama-French and Carhart models are estimated following this review.
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