Nonparametric Specification Testing of Conditional Asset Pricing Models
| Autor: | Juan M. Rodriguez-Poo, Stefan Sperlich, Francisco Peñaranda |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Computer science 05 social sciences Nonparametric statistics Specification testing 01 natural sciences Test (assessment) 010104 statistics & probability Stochastic discount factor 0502 economics and business Econometrics Capital asset pricing model Computerized adaptive testing Affine transformation 0101 mathematics Statistics Probability and Uncertainty Social Sciences (miscellaneous) 050205 econometrics |
| DOI: | 10.6084/m9.figshare.14664949 |
| Popis: | This article presents an adaptive omnibus specification test of asset pricing models where the stochastic discount factor is conditionally affine in the pricing factors. These models provide constraints that conditional moments of returns and pricing factors must satisfy, but most of them do not provide information on the functional form of those moments. Our test is robust to functional form misspecification, and also detects any relationship between pricing errors and conditioning variables. We give special emphasis to the test implementation and calibration, and extensive simulation studies prove the functioning in practice. Our empirical applications show a conditional counterpart of a well-known problem of unconditional models. The lack of rejection of consumption based conditional models seems to be due to a poor conditional correlation between consumption and stock returns. |
| Databáze: | OpenAIRE |
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