This paper of Kleibergen, Kong, and Zhan (2021), hereafter KKZ, represents an excellent contribution to the vast literature that concerns testing the validity of asset pricing models. I will first outline the problem and then provide some thoughts on when are the proposed methodologies relevant or not.

Comment on. Identification robust testing of risk premia in finite samples / Zaffaroni, Paolo. - In: JOURNAL OF FINANCIAL ECONOMETRICS. - ISSN 1479-8409. - 21:2(2023), pp. 303-305.

Comment on. Identification robust testing of risk premia in finite samples

Paolo Zaffaroni
2023

Abstract

This paper of Kleibergen, Kong, and Zhan (2021), hereafter KKZ, represents an excellent contribution to the vast literature that concerns testing the validity of asset pricing models. I will first outline the problem and then provide some thoughts on when are the proposed methodologies relevant or not.
2023
asset pricing; finite samples; identification robust inference; risk premia
01 Pubblicazione su rivista::01a Articolo in rivista
Comment on. Identification robust testing of risk premia in finite samples / Zaffaroni, Paolo. - In: JOURNAL OF FINANCIAL ECONOMETRICS. - ISSN 1479-8409. - 21:2(2023), pp. 303-305.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1687634
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