Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance

摘要: Abstract Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms relations among them, concentrating on conditional asset-pricing models where lagged variables serve as instruments for publicly available information. The different associated with methods. We review variance bounds Hansen Jagannathan (1991) , extensions conditioning Hansen's (1982) Generalized Method Moments (GMM) is briefly reviewed an organizing principle. Then, cross-sectional regression approaches developed by Fama MacBeth (1973) used to interpret such those advocated French (1993, 1996) . Finally, we multivariate approach, popularized in finance literature Gibbons others. A a beta formulation, GMM approach factor may be considered competing work discussion clarifies between various approaches. bring methods together, recent performance evaluation literature, mutual funds pension funds.