Ferson, Wayne E.
[VerfasserIn]
;
Nallareddy, Suresh
[Sonstige Person, Familie und Körperschaft];
Xie, Biqin
[Sonstige Person, Familie und Körperschaft]
The 'Out-of-Sample' Performance of Long-Run Risk Models
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 12, 2011 erstellt
Beschreibung:
This paper studies the ability of stationary and cointegrated versions of long-run risk models to explain out-of-sample asset returns during 1931-2009. The models perform similarly overall to the classical Capital Asset Pricing Model in a mean squared error sense, but have smaller average pricing errors. The long-run risk models perform relatively well on the momentum effect. A cointegrated version of the model outperforms a stationary version. A cointegrated model restricting the risk premiums to identify structural parameters has larger average pricing errors and smaller error variances than a reduced-form version of the model