Juan Arismendi-Zambrano

The Efficiency vs. Pricing Accuracy Trade-Off in GMM Estimation of Multifactor Linear Asset Pricing Models

Even though a multifactor linear asset pricing model can be written equivalently in Beta or Stochastic Discount Factor (SDF) form, the two representations need not deliver the same inferential properties when estimated by the generalized method of moments (GMM). Using a multifact...