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Small Sample Properties of the Model Specification Test Based on the Hansen-Jagannathan Distance
16 references·3 citing·37 second hop
Small Sample Properties of the Model Specification Test Based on the Hansen-Jagannathan Distance (1999)Small Sample Properties of the Model Spec…Assessing Specification Errors in Stochastic Discount Factor Models (1997)Assessing Specification Error…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Small-Sample Bias in GMM Estimation of Covariance Structures (1996)Small-Sample Bias in GMM Esti…GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study (1996)GMM Estimation of a Stochasti…Small Sample Bias in GMM Estimation of Covariance Structures (1994)Small Sample Bias in GMM Esti…Finite sample properties of the generalized method of moments in tests of conditional asset pricing models (1994)Finite sample properties of t…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Testing asset pricing models with changing expectations and an unobservable market portfolio (1985)Testing asset pricing models …Exchange rates and international macroeconomics (1984)Exchange rates and internatio…Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models (1983)Risk Averse Speculation in th…Mean-Variance Theory in Complete Markets (1982)Mean-Variance Theory in Compl…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment (2014)Ambiguity in the Cross-Sectio…An Exact Bayes Test of Asset Pricing Models with Application to International Markets* (2006)An Exact Bayes Test of Asset …Evaluating the Specification Errors of Asset Pricing Models (2000)Evaluating the Specification …Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)The Behavior of Stock-Market Prices (1965)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Expected Stock Returns and Variance Risk Premia (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On testing overidentifying restrictions in dynamic panel data models (2002)Nonstationary panels, cointegration in panels and dynamic panels: A survey (2004)Multivariate Stochastic Volatility: A Review (2006)Multivariate regression models for panel data (1982)Chapter 22 Panel data (1984)Finite-Sample Properties of Some Alternative GMM Estimators (1996)Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data (1999)Unequal we stand: An empirical analysis of economic inequality in the United States, 1967–2006 (2009)Consumption inequality and partial insurance (2017)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)… and the Cross-Section of Expected Returns (2015)Exchange Rates and Economic Fundamentals: A Methodological Comparison of Beers and Feers (1998)Oil prices and the rise and fall of the US real exchange rate (1998)Forecast comparisons in unstable environments (2010)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1994Small Sample Bias in GMM Estimation of Covariance Structures468 cited
  • 1996GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study467 cited
  • 1984Exchange rates and international macroeconomics370 cited
  • 1996Small-Sample Bias in GMM Estimation of Covariance Structures370 cited
  • 1994Finite sample properties of the generalized method of moments in tests of conditional asset pricing models346 cited
  • 1985Testing asset pricing models with changing expectations and an unobservable market portfolio293 cited
  • 1983Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models276 cited
  • 1982Mean-Variance Theory in Complete Markets

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256 cited
  • 1997Assessing Specification Errors in Stochastic Discount Factor Models240 cited
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    • 2014Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment28 cited
    • 2000Evaluating the Specification Errors of Asset Pricing Models28 cited
    • 2006An Exact Bayes Test of Asset Pricing Models with Application to International Markets*27 cited