Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: a Unifying Approach

• Autores: Francisco Peñaranda, Enrique Sentana Iváñez
• Localización: Working Papers ( Universitat Pompeu Fabra. Departamento de Economía y Empresa ), Nº. 1101, 2008
• Idioma: inglés
• Enlaces
  • Texto completo (pdf)
• Resumen

  • We propose new spanning tests that assess if the economically meaningful cost and mean representing portfolios are shared by the initial and additional assets. We show that our proposed tests are asymptotically equivalent to existing ones under local alternatives, and analyse their asymptotic relative efficiency. We extend optimal GMM inference to deal with singularities arising in some spanning tests, and show that our tests generalise naturally to situations in which we consider all active portfolio strategies. Finally, we apply our tests to strategies involving size and book-to-market sorted stock portfolios whose weights depend on the state of the credit cycle.