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 …

-of-sample model performance---in terms of SDF Sharpe ratio and test asset pricing errors---is improving in model parameterization (or …

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 …