{"title":"资产定价计量经济学:方法回顾与实证实践","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":"{\"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}","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}
Econometrics of Asset Pricing: Methodological Review and Empirical Exercise
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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