Search Results

SORT BY: PREVIOUS / NEXT
Keywords:asset pricing models 

Report
A Demand System Approach to Asset Pricing

This Staff Report was previously titled "An Equilibrium Model of Institutional Demand and Asset Prices." {{p}} We develop an asset pricing model with rich heterogeneity in asset demand across investors, designed to match institutional holdings data. The equilibrium price vector is uniquely determined by market clearing, which equates the supply of each asset to aggregate demand. We estimate the model on U.S. stock market data by instrumental variables, under an identifying assumption that allows for price impact. The model sheds light on the role of institutions in stock market ...
Staff Report , Paper 510

Working Paper
Misspecification-robust inference in linear asset pricing models with irrelevant risk factors

We show that in misspecified models with useless factors (for example, factors that are independent of the returns on the test assets), the standard inference procedures tend to erroneously conclude, with high probability, that these irrelevant factors are priced and the restrictions of the model hold. Our proposed model selection procedure, which is robust to useless factors and potential model misspecification, restores the standard inference and proves to be effective in eliminating factors that do not improve the model's pricing ability. The practical relevance of our analysis is ...
FRB Atlanta Working Paper , Paper 2013-09

FILTER BY year

FILTER BY Series

FILTER BY Content Type

Report 1 items

Working Paper 1 items

FILTER BY Jel Classification

G12 2 items

C12 1 items

C52 1 items

G23 1 items

PREVIOUS / NEXT