This paper examines the role of pricing errors in linear factor pricing models, allowing for observed strong and semi … asymptotic distribution under a general setting that allows for idiosyncratic pricing errors, weak missing factors, as well as …

This paper examines the role of pricing errors in linear factor pricing models, allowing for observed strong and semi … asymptotic distribution under a general setting that allows for idiosyncratic pricing errors, weak missing factors, as well as …

rationalizes pricing errors. We find that implausible estimates of risk aversion and time preference are not puzzling if market …"). A bias in structural parameter estimates emerges as a result of pricing errors in quiet times. While the bias … large and persistent estimated pricing errors in simulated data. We also show analytically how the problem of biased …

rationalizes pricing errors. We find that implausible estimates of risk aversion and time preference are not puzzling if market …"). A bias in structural parameter estimates emerges as a result of pricing errors in quiet times. While the bias … large and persistent estimated pricing errors in simulated data. We also show analytically how the problem of biased …

This paper examines the implications of pricing errors and factors that are not strong for the Fama-MacBeth two … measure. Our theoretical results have important practical implications for empirical asset pricing. Pricing errors and factor …

This paper examines the implications of pricing errors and factors that are not strong for the Fama-MacBeth two … measure. Our theoretical results have important practical implications for empirical asset pricing. Pricing errors and factor …

substantial pricing errors. A first-order approximation in continuous time reduces pricing errors by 90 percent relative to the …

substantial pricing errors. A first-order approximation in continuous time reduces pricing errors by 90 percent relative to the …

A GMM-based system for two different linear factor pricing models is used to test if the pricing errors are the same …