A Skeptical Appraisal of Robust Asset Pricing Tests

Tim A. Kroencke, Julian Thimme
{"title":"A Skeptical Appraisal of Robust Asset Pricing Tests","authors":"Tim A. Kroencke, Julian Thimme","doi":"10.2139/ssrn.3875657","DOIUrl":null,"url":null,"abstract":"We analyze the size and power of a large number of “robust” asset pricing tests, investigating the hypothesis that the price of risk of a candidate factor is equal to zero. Different from earlier studies, our bootstrap approach puts all tests on an equal footing and focuses on sample sizes comparable to standard applications in asset pricing research. Thus, our paper provides guidance for researchers about which method to use. We find that the classic Fama-MacBeth/Shanken approach rarely over-rejects useless factors and provides a reasonable balance between size and power. In contrast, some of the “robust” methods suffer from poor power in realistic sample sizes, especially in situations where the asset pricing model is mildly misspecified.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"112 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometrics: Econometric & Statistical Methods - General eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3875657","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 3

Abstract

We analyze the size and power of a large number of “robust” asset pricing tests, investigating the hypothesis that the price of risk of a candidate factor is equal to zero. Different from earlier studies, our bootstrap approach puts all tests on an equal footing and focuses on sample sizes comparable to standard applications in asset pricing research. Thus, our paper provides guidance for researchers about which method to use. We find that the classic Fama-MacBeth/Shanken approach rarely over-rejects useless factors and provides a reasonable balance between size and power. In contrast, some of the “robust” methods suffer from poor power in realistic sample sizes, especially in situations where the asset pricing model is mildly misspecified.
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
对稳健资产定价测试的怀疑评估
我们分析了大量“稳健”资产定价测试的规模和能力,研究了一个候选因素的风险价格等于零的假设。与早期的研究不同,我们的自举方法将所有测试置于平等的基础上,并将重点放在与资产定价研究中的标准应用相当的样本量上。因此,我们的论文为研究人员提供了使用哪种方法的指导。我们发现经典的Fama-MacBeth/Shanken方法很少过度拒绝无用因素,并在规模和权力之间提供了合理的平衡。相比之下,一些“稳健”方法在实际样本量下的效力较差,特别是在资产定价模型有轻微错误指定的情况下。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
自引率
0.00%
发文量
0
期刊最新文献
Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S&P500 data Identification of Factor Risk Premia Herding in Probabilistic Forecasts Efficient Bias Robust Cross Section Factor Models Multi-factor, Age-Cohort, Affine Mortality Models: A Multi-Country Comparison
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1