Essays on estimating and testing asset pricing models

• Autores: Martin Carlos Lozano Banda
• Directores de la Tesis: Gonzalo Rubio Irigoyen (dir. tes.)
• Lectura: En la Universidad del País Vasco - Euskal Herriko Unibertsitatea ( España ) en 2010
• Idioma: español
• Tribunal Calificador de la Tesis: Alfonso Santiago Novales Cinca (presid.), María Victoria Esteban González (secret.), Angel Pardo Tornero (voc.), Ignacio Rodriguez Longarela (voc.), Rosa Rodríguez López (voc.)
• Materias:
  • Ciencias económicas
    • Econometría
      • Modelos econométricos
    • Teoría económica
      • Teoría de la inversión
    • Economía general
      • Metodología económica
    • Economía sectorial
      • Finanzas y seguros
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• Resumen

  • Asset pricing models are concerned with determining the expected returns of assets whose payoffs are risky. Explicitly, these financial models analyze the relationship between risk and expected return, and address the crucial question of how to value risk.

    Empirical finance widely adopts either the classical Beta method or the stochastic discount factor (SDF) method for the estimation and evaluation of asset-pricing models. Typically, it is common to select one approach over the other and consequently certain specific areas of the literature appear to favor one method over the other. However only recently have there been attempts to evaluate them.

    The main original implication of our results is that if we are interested on making inference on a multi-factor model estimator(s), we should prefer the Beta method over the SDF method. Conversely, if we are primarily interested on making inference on the sampling pricing error or Jensen's alpha, the SDF method should be preferred. We argue that previous studies are conducted under fairly simple conditions which are not sufficient to arise significative divergences.