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Rev Fin 1995; 8:237-274
© 1995 the Society for Financial Studies

Article

Econometric evaluation of asset pricing models

LP Hansen1, J Heaton2 and EGJ Luttmer3
1 University of Chicago, Chicago, USA and NBER and NORC
2 Sloan School of Management, E52-435, MIT, 50 Memorial Drive, Cambridge, MA 02142, USA
3 Northwestern University, Evanston, USA

Abstract

In this article we provide econometric tools for the evaluation of intertemporal asset pricing models using specification-error and volatility bounds. We formulate analog estimators of these bounds, give conditions for consistency, and derive the limiting distribution of these estimators. The analysis incorporates market frictions such as short-sale constraints and proportional transactions costs. Among several applications we show how to use the methods to assess specific asset pricing models and to provide non-parametric characterizations of asset pricing anomalies.


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