论文标题
资产定价的错误指定和弱标识
Misspecification and Weak Identification in Asset Pricing
论文作者
论文摘要
在资产定价中，错误规格和较弱的识别的广泛共存导致风险因素的表现过高。由于传统的FAMA和MACBETH（1973）的方法被错误指定和较弱的识别危害，因此我们通过使用双重强大的Lagrange乘数测试来推断风险Premia在存在这两个经验上相关的问题的情况下仍然可靠。此外，我们展示了风险溢价的识别和由此产生的适当解释如何受误指定的J统计数据的相对幅度和识别的相对幅度。我们重新审视了冯，吉格里奥和XIU因子动物园（2020年）的几到六个因素（2020）的几种突出的经验应用和所有规格，以强调不指定规定和弱标识的广泛发生。
The widespread co-existence of misspecification and weak identification in asset pricing has led to an overstated performance of risk factors. Because the conventional Fama and MacBeth (1973) methodology is jeopardized by misspecification and weak identification, we infer risk premia by using a double robust Lagrange multiplier test that remains reliable in the presence of these two empirically relevant issues. Moreover, we show how the identification, and the resulting appropriate interpretation, of the risk premia is governed by the relative magnitudes of the misspecification J-statistic and the identification IS-statistic. We revisit several prominent empirical applications and all specifications with one to six factors from the factor zoo of Feng, Giglio, and Xiu (2020) to emphasize the widespread occurrence of misspecification and weak identification.
