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Common pricing across asset classes : empirical evidence revisited
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Gospodinov, Nikolay and Robotti, Cesare (2021) Common pricing across asset classes : empirical evidence revisited. Journal of Financial Economics, 140 (1). pp. 292-324. doi:10.1016/j.jfineco.2020.12.001
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Official URL: https://doi.org/10.1016/j.jfineco.2020.12.001
Abstract
Intermediary and downside-risk asset-pricing theories lay the foundations for spanning the multi-asset return space by a small number of risk factors. Recent studies document strong empirical
support for such factors across major asset classes. We revisit these results and show that robust evidence for common factor pricing remains elusive. Importantly, the proposed risk factors do not
seem to provide incremental information to the traditional market factor. We argue that most of the economic and statistical challenges are not specific to these analyses and, with the aid of a placebo test, offer general recommendations for improving empirical tests, thus adding to the prescriptions in Lewellen, Nagel, and Shanken (2010).
| Item Type: | Journal Article | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Subjects: | H Social Sciences > HG Finance | ||||||||
| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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| Journal or Publication Title: | Journal of Financial Economics | ||||||||
| Publisher: | Elsevier Science BV | ||||||||
| ISSN: | 0304-405X | ||||||||
| Official Date: | April 2021 | ||||||||
| Dates: |
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| Volume: | 140 | ||||||||
| Number: | 1 | ||||||||
| Page Range: | pp. 292-324 | ||||||||
| DOI: | 10.1016/j.jfineco.2020.12.001 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | Published | ||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||
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