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Small sample properties of the GMM specification test based on the Hansen–Jagannathan distance
16 references·8 citing·36 second hop
Small sample properties of the GMM specification test based on the Hansen–Jagannathan distance (2003)Small sample properties of the GMM specif…Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Nonlinear Pricing Kernels, Ku…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 …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…Convertible bonds as backdoor equity financing (1992)Convertible bonds as backdoor…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…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…Common pricing across asset classes: Empirical evidence revisited (2020)Common pricing across asset c…Are the Blockchain-Based Patents Sustainable for Increasing Firm Value? (2020)Are the Blockchain-Based Pate…Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment (2014)Ambiguity in the Cross-Sectio…Chi-squared tests for evaluation and comparison of asset pricing models (2012)Chi-squared tests for evaluat…Testing conditional asset pricing models: An emerging market perspective (2009)Testing conditional asset pri…Money and the C-CAPM (2009)Money and the C-CAPMOption Coskewness and Capital Asset Pricing (2006)Option Coskewness and Capital…An examination of alternative CAPM-based models in UK stock returns (2005)An examination of alternative…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)Determinants of corporate borrowing (1977)Corporate financing and investment decisions when firms have information that investors do not have (1984)Financial Intermediation and Delegated Monitoring (1984)The long-run performance of stock returns following debt offerings (1999)Stage Financing and the Role of Convertible Securities (2003)Is integrated reporting determined by a country's legal system? An exploratory study (2012)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)Multifactor Explanations of Asset Pricing Anomalies (1996)A consumption-based model of the term structure of interest rates☆ (2005)Ex Ante Skewness and Expected Stock Returns (2012)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)The Determinants of Capital Structure Choice (1988)Asset Pricing at the Millennium (2000)Efficiency and the Bear: Short Sales and Markets Around the World (2007)Shrinking the cross-section (2019)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)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)… and the Cross-Section of Expected Returns (2015)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
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  • 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
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  • 1997Assessing Specification Errors in Stochastic Discount Factor Models768 cited
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  • 1985Testing asset pricing models with changing expectations and an unobservable market portfolio

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293 cited
  • 1983Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models276 cited
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    • 2009Money and the C-CAPM42 cited
    • 2020Common pricing across asset classes: Empirical evidence revisited39 cited
    • 2014Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment28 cited
    • 2020Are the Blockchain-Based Patents Sustainable for Increasing Firm Value?12 cited