Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation

Jegadeesh Narasimhan; Noh Joonki; Pukthuanthong Kuntara; Roll Richard; Wang Junbo

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Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation

机译：具有单个资产的资产定价模型的实证检验：解决风险溢价估算中的变量误差偏差

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摘要

To attenuate an inherent errors-in-variables bias, portfolios are widely employed to test asset pricing models; but portfolios might mask relevant risk- or return-related features of individual stocks. We propose an instrumental variables approach that allows the use of individual stocks as test assets, yet delivers consistent estimates of ex post risk premiums. This estimator also yields well-specified tests in small samples. The market risk premium under the capital asset pricing model (CAPM) and the liquidity-adjusted CAPM, premiums on risk factors under the Fama-French three- and five-factor models, and the Hou et al. (2015) four-factor model are all insignificant after controlling for asset characteristics. (C) 2019 Elsevier B.V. All rights reserved.

机译：为了减轻固有的变量误差偏差，资产组合被广泛用于测试资产定价模型。但是投资组合可能会掩盖个别股票的与风险或回报相关的特征。我们提出了一种工具变量方法，该方法允许将单个股票用作测试资产，同时提供事后风险溢价的一致估计。该估算器还可以对小样本进行指定的测试。资本资产定价模型（CAPM）和流动性调整后的CAPM下的市场风险溢价，Fama-French三因素和五因素模型下的风险因素溢价，以及Hou等人。（2015）控制资产特征后，四因素模型均不显着。（C）2019 Elsevier B.V.保留所有权利。

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来源
《Journal of financial economics》 |2019年第2期|273-298|共26页
作者
Jegadeesh Narasimhan; Noh Joonki; Pukthuanthong Kuntara; Roll Richard; Wang Junbo;
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作者单位

Emory Univ, 1300 Clifton Rd, Atlanta, GA 30322 USA;

Case Western Reserve Univ, 10900 Euclid Ave, Cleveland, OH 44106 USA;

Univ Missouri, 420 Cornell Hall, Columbia, MO 65211 USA;

CALTECH, 235 Baxter, Pasadena, CA 91125 USA;

Louisiana State Univ, 2915 Business Educ Complex North, Baton Rouge, LA 70803 USA;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Risk premium estimation; Errors-in-variables bias; Instrumental variables; Individual stocks; Asset pricing models;

机译：风险溢价估计;错误变量偏见;仪器变量;个人股票;资产定价模型;

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专利

1. Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation [J] . Jegadeesh Narasimhan, Noh Joonki, Pukthuanthong Kuntara, Journal of financial economics . 2019,第2期

机译：具有个别资产的资产定价模型的经验测试：解决风险溢价估算中的变量错误偏差
2. A literature review of new methods in empirical asset pricing: omitted-variable and errors-in-variable bias [J] . Collot Solene, Hemauer Tobias Financial Markets and Portfolio Management . 2021,第1期

机译：实证资产定价中新方法的文献综述：省略变量与误差 - 变量偏差
3. Empirical tests on the asset pricing model with liquidity risk: An unobserved components approach [J] . Fall Malick, Louhichi Wael, Viviani Jean Laurent Economic modelling . 2019,第AUGa期

机译：具有流动性风险的资产定价模型的实证检验：一种不可观察的成分方法
4. AN EMPIRICAL TEST OF THE CONSUMPTION-BASED ASSET PRICING MODEL(CCAPM) IN LATIN AMERICA [C] . Guilherme Kirch, Paulo Renato Soares Terra, Tiago Wickstrom Alves Decision Sciences Institute Annual Meeting . 2007

机译：拉丁美洲基于消费的资产定价模型（CCAPM）的实证检验
5. Non-normality of asset returns in the assessment of risk -adjusted performance: Three empirical tests of the Leland alternative asset pricing model. [D] . Reid, Sean Frederick. 2002

机译：风险调整绩效评估中资产收益的非正态性：Leland替代资产定价模型的三个实证检验。
6. Initial cash/asset ratio and asset prices: An experimental study [O] . Gunduz Caginalp, David Porter, Vernon Smith 1998

机译：初始现金/资产比率和资产价格：一项实验研究
7. Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation [O] . Narasimhan Jegadeesh, Joonki Noh, Kuntara Pukthuanthong, 2019

机译：具有个别资产的资产定价模型的经验测试：解决风险溢价估算中的变量错误偏差

Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation

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