Lozano, Martín; Rubio, Gonzalo - In: Journal of Empirical Finance 18 (2011) 1, pp. 136-146
We follow the correct Jagannathan and Wang (2002) framework for comparing the estimates and specification tests of the classical Beta and Stochastic Discount Factor/Generalized Method of Moments (SDF/GMM) methods. We extend previous studies by considering not only single but also multifactor...