SMU SOE Seminar (Oct 9, 2019): Identification Robust Testing of Risk Premia in Finite Samples

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ABSTRACT The reliability of tests on the risk premia in linear factor models is threatened by limited sample sizes and weak identiﬁcation of risk premia frequently encountered in applied work. We propose novel tests on the risk premia that are robust to both limited sample sizes and the identiﬁcation strength of the risk premia as reﬂected by the quality of the risk factors. These tests are appealing for empirically relevant settings, and lead to conﬁdence sets of risk premia that can substantially diﬀer from conventional ones. To show the latter, we revisit two high-proﬁle empirical applications. Keywords: Asset pricing, risk premia, identiﬁcation robust inference, ﬁnite samples. JEL Codes: G12. Click here to view the paper. Click here to view the CV.
		PRESENTER Frank Kleibergen University of Amsterdam
		RESEARCH FIELDS Econometrics Asset pricing
		DATE: 9 October 2019 (Wednesday)
		TIME: 4pm - 5.30pm
		VENUE: Meeting Room 5.1, Level 5 School of Economics Singapore Management University 90 Stamford Road Singapore 178903