Arbeitspapier
GMM weighting matrices incross-sectional asset pricing tests
Cross-sectional asset pricing tests with GMM can generate spuriouslyhigh explanatory power for factor models when the moment conditions are specifiedsuch that they allow the estimated factor means to substantially deviate from theobserved sample averages. In fact, by shifting the weights on the moment conditions,any level of cross-sectional fit can be attained. This property is a feature of the GMMestimation design and applies to strong as well as weak factors, and to all samplesizes and test assets. We reveal the origins of this bias theoretically, gauge its sizeusing simulations, and document its relevance empirically.
- ISBN
-
978-3-95729-797-6
- Sprache
-
Englisch
- Erschienen in
-
Series: Deutsche Bundesbank Discussion Paper ; No. 62/2020
- Klassifikation
-
Wirtschaft
Financial Economics: General
Asset Pricing; Trading Volume; Bond Interest Rates
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Estimation: General
- Thema
-
asset pricing
cross-section of expected returns
GMM
factor zoo
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Laurinaityte, Nora
Meinerding, Christoph
Schlag, Christian
Thimme, Julian
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2020
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Laurinaityte, Nora
- Meinerding, Christoph
- Schlag, Christian
- Thimme, Julian
- Deutsche Bundesbank
Entstanden
- 2020
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