Beta Matrix and Common Factors in Stock Returns

被引:10
作者
Ahn, Seung C. [1 ]
Horenstein, Alex R. [2 ]
Wang, Na [3 ]
机构
[1] Arizona State Univ, Carey Sch Business, Tempe, AZ 85287 USA
[2] Univ Miami, Business Sch, Coral Gables, FL 33124 USA
[3] Hofstra Univ, Zarb Sch Business, Hempstead, NY 11550 USA
关键词
DISCOUNT FACTOR MODELS; ASSET-PRICING-MODELS; USELESS FACTORS; CROSS-SECTION; RISK-FACTORS; TESTS; MARKET; NUMBER; RANK; EQUILIBRIUM;
D O I
10.1017/S0022109017001120
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We consider the estimation methods for the rank of a beta matrix corresponding to a multifactor model and study which method would be appropriate for data with a large number of assets. Our simulation results indicate that a restricted version of Cragg and Donald's (1997) Bayesian Information Criterion estimator is quite reliable for such data. We use this estimator to analyze some selected asset pricing models with U.S. stock returns. Our results indicate that the beta matrix from many models fails to have full column rank, suggesting that risk premiums in these models are underidentified.
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页码:1417 / 1440
页数:24
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