Creator

• Ferson, Wayne E.
• Jagannathan, Ravi

Series

• Staff report (Federal Reserve Bank of Minneapolis. Research Department)

Issue number

• 206

Date Created

• 1996-01

Abstract

• We provide a brief review of the techniques that are based on the Generalized Method of Moments (GMM) and used for evaluating capital asset pricing models. We first develop the CAPM and multi-beta models and discuss the classical two-stage regression method originally used to evaluate them. We then describe the pricing kernel representation of a generic asset pricing model; this representation facilitates use of the GMM in a natural way for evaluating the conditional and unconditional versions of most asset pricing models. We also discuss diagnostic methods that provide additional insights.

Related information

• Published in: Handbook of Statistics (Vol. 14, 1996, pp. 1-33) https://doi.org/10.1016/S0169-7161(96)14003-7.

Corporate Author

• Federal Reserve Bank of Minneapolis. Research Department

Publisher

• Federal Reserve Bank of Minneapolis

Resource type

• Research Paper

DOI

•  https://doi.org/10.21034/sr.206

License

• Creative Commons BY-NC Attribution-NonCommercial 4.0 International

Relationships

In Collection:

• Staff Reports

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