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Elephants and the Cross-Section of Expected Returns
| Content Provider | Semantic Scholar |
|---|---|
| Author | Laurinaityte, Nora Marija Meinerding, Christoph Schlag, Christian Thimme, Julian |
| Copyright Year | 2019 |
| Abstract | Standard GMM cross-sectional asset pricing tests are susceptible to a ``trade-off'': They can generate high explanatory power for factor models by allowing the estimated factor means to substantially deviate from the observed 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 GMM estimation design and applies to weak as well as strong factors, and to all sample sizes and test assets. To quantify the trade-off, we run tests based on simulated and empirical data. |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.3073197 |
| Alternate Webpage(s) | http://wp.lancs.ac.uk/fofi2018/files/2018/03/FoFI-2018-0162-Nora-Laurinaityte.pdf |
| Alternate Webpage(s) | https://openconf.s3.amazonaws.com/MFA2020/papers/444.pdf?AWSAccessKeyId=AKIAQY37HFC6IY5GEPRE&Expires=1582333774&Signature=WiCziSyBMcleJSMYp9X%2BqAFSLjU%3D |
| Alternate Webpage(s) | https://doi.org/10.2139/ssrn.3073197 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
