Hansen and Jagannathan (1997) have developed two measures of pricing errors for asset pricing models: the maximum … time-varying extensions substantially reduce pricing errors of classic models on the standard test assets, our analysis … shows that the reduction is much smaller based on the second measure. Those time-varying models have pricing errors on the …

This paper examines how issuer credit relates to the level of warrant-pricing errors in Taiwan. The results demonstrate … that the premia of warrants with high credit ratings have fewer pricing errors, implying that warrants with higher credit …

Hansen and Jagannathan (1997) have developed two measures of pricing errors for asset-pricing models: the maximum … time-varying extensions substantially reduce pricing errors of classic models on the standard test assets, our analysis … shows that the reduction is much smaller based on the second measure. Those time-varying models have large pricing errors on …

We show that in the presence of non-zero pricing errors, the Fama–MacBeth (FM) cross-sectional regression test is very … fails. We investigate the case when pricing errors are correlated with betas and demonstrate that the test performance … CAPM holds exactly (pricing errors are zero) the FM test is equally likely to either reject or accept the model when …