Asset Pricing John H. Cochrane June 12, 2000
Asset Pricing John H. Cochrane June 12, 2000
Asset Pricing John H. Cochrane June 12, 2000
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9.2 Intertemporal Capital <strong>Asset</strong> <strong>Pricing</strong> Model (ICAPM) 156<br />
9.3 Comments on the CAPM and ICAPM 158<br />
9.4 Arbitrage <strong>Pricing</strong> Theory (APT) 162<br />
9.5 APT vs. ICAPM 171<br />
9.6 Problems 172<br />
Part II. Estimating and evaluating asset pricing models 174<br />
10 GMM in explicit discount factor models 177<br />
10.1 The Recipe 177<br />
10.2 Interpreting the GMM procedure 180<br />
10.3 Applying GMM 184<br />
11 GMM: general formulas and applications 188<br />
11.1 General GMM formulas 188<br />
11.2 Testing moments 192<br />
11.3 Standard errors of anything by delta method 193<br />
11.4 Using GMM for regressions 194<br />
11.5 Prespecified weighting matrices and moment conditions 196<br />
11.6 Estimating on one group of moments, testing on another. 205<br />
11.7 Estimating the spectral density matrix 205<br />
11.8 Problems 2<strong>12</strong><br />
<strong>12</strong> Regression-based tests of linear factor models 214<br />
<strong>12</strong>.1 Time-series regressions 214<br />
<strong>12</strong>.2 Cross-sectional regressions 219<br />
<strong>12</strong>.3 Fama-MacBeth Procedure 228<br />
<strong>12</strong>.4 Problems 234<br />
13 GMM for linear factor models in discount factor form 235<br />
13.1 GMM on the pricing errors gives a cross-sectional regression 235<br />
13.2 The case of excess returns 237<br />
13.3 Horse Races 239<br />
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