Some Empirical Tests of Alternative Generalized Two Parameter Asset Pricing Models

2009 ◽  
Vol 4 (1) ◽  
pp. 1-14 ◽  
Author(s):  
Lawrence Kryzanowski ◽  
Minh Chau
Keyword(s):  
Asset Pricing ◽  
Pricing Models ◽  
Asset Pricing Models ◽  
Empirical Tests ◽  
Two Parameter

Nonrevealing Equilibria and Consumption-Based Asset Pricing Models

2006 ◽  
Vol 6 (1) ◽  
Author(s):  
James E Gunderson
Keyword(s):  
Asset Pricing ◽  
Private Information ◽  
Rational Expectations ◽  
Investment Risk ◽  
Conditional Distributions ◽  
Pricing Models ◽  
Asset Pricing Models ◽  
Empirical Tests ◽  
The Impact ◽  
Investment Choices

In the rational expectations equilibrium of this paper, agents have private information and differing information partitions and therefore assign differing conditional distributions to asset payoffs and other economic variables relevant to their investment choices. Standard asset pricing models typically do not recognize the impact of these differing information partitions, and empirical tests based on these models thus measure asset riskiness in a way that may not be relevant to any of the agents' decisions. I show how this can lead to distorted estimates of investment risk and how it can make the equity premium appear difficult to explain.

scholarly journals Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation

2019 ◽  
Vol 133 (2) ◽  
pp. 273-298 ◽  
Author(s):  
Narasimhan Jegadeesh ◽  
Joonki Noh ◽  
Kuntara Pukthuanthong ◽  
Richard Roll ◽  
Junbo Wang
Keyword(s):  
Asset Pricing ◽  
Risk Premium ◽  
Errors In Variables ◽  
Pricing Models ◽  
Asset Pricing Models ◽  
Empirical Tests
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