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Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns

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Cited by:

  1. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2019. "Too good to be true? Fallacies in evaluating risk factor models," Journal of Financial Economics, Elsevier, vol. 132(2), pages 451-471.
  2. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
  3. Frank Windmeijer, 2018. "Testing Over- and Underidentification in Linear Models, with Applications to Dynamic Panel Data and Asset-Pricing Models," Bristol Economics Discussion Papers 18/696, School of Economics, University of Bristol, UK.
  4. Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.
  5. Anatolyev, Stanislav & Mikusheva, Anna, 2022. "Factor models with many assets: Strong factors, weak factors, and the two-pass procedure," Journal of Econometrics, Elsevier, vol. 229(1), pages 103-126.
  6. Khalaf, Lynda & Schaller, Huntley, 2016. "Identification and inference in two-pass asset pricing models," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 165-177.
  7. Gregory Connor & Robert A Korajczyk, 2024. "Semi-Strong Factors in Asset Returns," Journal of Financial Econometrics, Oxford University Press, vol. 22(1), pages 70-93.
  8. Manresa, Elena & Peñaranda, Francisco & Sentana, Enrique, 2023. "Empirical evaluation of overspecified asset pricing models," Journal of Financial Economics, Elsevier, vol. 147(2), pages 338-351.
  9. Jean-Marie Dufour & Alain Trognon & Purevdorj Tuvaandorj, 2017. "Invariant tests based on M -estimators, estimating functions, and the generalized method of moments," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 182-204, March.
  10. Craig Burnside & Mario Cerrato & Zhekai Zhang, 2018. "Foreign exchange order fl ow as a risk factor," Working Papers 2018_04, Business School - Economics, University of Glasgow.
  11. Alexis Akira Toda & Kieran James Walsh, 2017. "Fat tails and spurious estimation of consumption‐based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1156-1177, September.
  12. Craig Burnside & Mario Cerrato & Zhekai Zhang, 2023. "Foreign exchange order flow as a risk factor," Working Papers 2023_03, Business School - Economics, University of Glasgow.
  13. Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2020. "Dissecting Characteristics Nonparametrically," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2326-2377.
  14. repec:gla:glaewp:2023-03 is not listed on IDEAS
  15. Kroencke, Tim A. & Schindler, Felix & Sebastian, Steffen & Theissen, Erik, 2013. "GDP mimicking portfolios and the cross-section of stock returns," ZEW Discussion Papers 13-026, ZEW - Leibniz Centre for European Economic Research.
  16. Craig Burnside, 2011. "The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment," American Economic Review, American Economic Association, vol. 101(7), pages 3456-3476, December.
  17. Borup, Daniel, 2019. "Asset pricing model uncertainty," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 166-189.
  18. Alex R. Horenstein, 2017. "Betting Against Alpha," Working Papers 2017-13, University of Miami, Department of Economics.
  19. Ahn, Seung C. & Perez, M. Fabricio & Gadarowski, Christopher, 2013. "Two-pass estimation of risk premiums with multicollinear and near-invariant betas," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 1-17.
  20. Zhang, Xuan & Zhang, Zhekai & Xu, Liao & Zhou, Zhiping, 2024. "In search of distress premium in the Chinese energy sector," Energy Economics, Elsevier, vol. 129(C).
  21. Jamali, Ibrahim & Yamani, Ehab & Smallwood, Aaron D., 2023. "An investment-based explanation of currency excess returns," Journal of International Money and Finance, Elsevier, vol. 133(C).
  22. Laurinaityte, Nora & Meinerding, Christoph & Schlag, Christian & Thimme, Julian, 2020. "GMM weighting matrices incross-sectional asset pricing tests," Discussion Papers 62/2020, Deutsche Bundesbank.
  23. Elena Manresa & Francisco Peñaranda & Enrique Sentana, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," Working Papers wp2018_1711, CEMFI.
  24. Laurinaityte, Nora & Meinerding, Christoph & Schlag, Christian & Thimme, Julian, 2024. "GMM weighting matrices in cross-sectional asset pricing tests," Journal of Banking & Finance, Elsevier, vol. 162(C).
  25. Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
  26. Sun, Yang & Zhang, Xuan & Zhang, Zhekai, 2022. "The reduced-rank beta in linear stochastic discount factor models," International Review of Financial Analysis, Elsevier, vol. 84(C).
  27. Fletcher, Jonathan, 2018. "Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 114-129.
  28. Dupuy, Philippe & James, Jessica & Marsh, Ian W., 2021. "Attractive and non-attractive currencies," Journal of International Money and Finance, Elsevier, vol. 110(C).
  29. Craig Burnside, 2011. "Carry Trades and Risk," NBER Working Papers 17278, National Bureau of Economic Research, Inc.
  30. Roberto Steri, 2015. "Collateral-Based Asset Pricing," 2015 Meeting Papers 293, Society for Economic Dynamics.
  31. Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.
  32. Frank Kleibergen & Lingwei Kong & Zhaoguo Zhan, 2023. "Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 311-315.
  33. Gospodinov, Nikolay & Maasoumi, Esfandiar, 2021. "Generalized aggregation of misspecified models: With an application to asset pricing," Journal of Econometrics, Elsevier, vol. 222(1), pages 451-467.
  34. Yu Ren & Qin Wang, 2020. "Estimating the rank of a beta matrix: a GMM approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 4147-4173, December.
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