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Estimating Risk Premia Using Large Cross-Sections

lunedì 19 dicembre 2016
ore 14.00
LUMSA - Sala del Consiglio
Via Pompeo Magno 22, Roma


Il 19 dicembre alla LUMSA si svolgerà il seminario Estimating Risk Premia Using Large Cross-Sections, un appuntamento che rientra nel programma dei seminari del Center for Relationship Banking and Economics.

All’evento, i cui temi principali sono il mercato finanziario e il modello di Shanken quale strumento di stima del prezzo, parteciperà la dott.ssa Valentina Raponi (Imperial College of London - Department of Finance), autrice del paper Estimating Risk Premia Using Large Cross-Sections con il seguente abstract:

Tens of thousands of stocks are traded every day in financial markets, providing an extremely rich information set to validate and estimate asset pricing models. At the same time, it seems reasonable to consider short time series, in order to avoid structural breaks and/or mitigate the documented time-variation in the distribution of stock returns. Based on these considerations, this paper presents a limiting theory for estimating and testing linear asset-pricing models when a large number of assets, N, is available, together with a fixed, possibly small, time-series dimension, applicable to both traded and non-traded factors. For this purpose, we focus on Shanken’s (1992) estimator, which we show to exhibit many desirable properties. We demonstrate that: first, it is an OLS-based estimator that, unlike others, does not require preliminary estimation of the √ bias-adjustment; second, it converges at the true ex-post risk premia at rate N; third, it has an asymptotically normal distribution; fourth, its limiting covariance matrix can be consistently estimated. Based on the pricing errors associated with the Shanken estimator, we propose a new test of the no-arbitrage asset pricing restriction, and establish its asymptotic distribution (assuming that the restriction holds) that only requires the number of assets N to diverge. Finally, we show how our results can be extended to deal with the more realistic case of unbalanced panels. The practical relevance of our findings is demonstrated using Monte Carlo simulations and an empirical application to asset-pricing models with traded risk factors. Our analysis suggests that the market, size, and value factors are often priced in the cross-section of NYSE-AMEX-NASDAQ individual stock returns.
 

Pubblicato il 19/12/16 in : IN EVIDENZA
Corsi di Laurea Master e Post Laurea