000			02014cam a22003377 4500
001			w8098
003			NBER
005			20211020113434.0
006			m o d
007			cr cnu||||||||
008			210910s2001 mau fo 000 0 eng d
100	1		_aJagannathan, Ravi. _913498
245	1	0	_aEmpirical Evaluation of Asset Pricing Models: _bA Comparison of the SDF and Beta Methods / _cRavi Jagannathan, Zhenyu Wang.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2001.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w8098
500			_aJanuary 2001.
520	3		_aThe stochastic discount factor (SDF) method provides a unified general framework for econometric analysis of asset pricing models. It has recently been pointed out that the generality of the SDF method may come at the cost of estimation efficiency. We show that there is no need for this concern. The SDF method is as efficient as the classical beta method for estimating risk premia. In addition, the SDF method has an advantage -- the classical beta method, unlike the SDF method, substantially understates the effect of sampling errors when the estimated unanticipated changes in macroeconomic variables are used as pervasive factors.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aG0 - General _2Journal of Economic Literature class.
690		7	_aC5 - Econometric Modeling _2Journal of Economic Literature class.
700	1		_aWang, Zhenyu.
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w8098.
856	4	0	_uhttps://www.nber.org/papers/w8098
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w8098
942			_2ddc _cW-PAPER
999			_c340108 _d298670