Relative Entropy and Minimum-Variance Pricing Kernel in Asset Pricing Model Evaluation

Recent literature shows that many testing procedures used to evaluate asset pricing models result in spurious rejection probabilities. Model misspecification, the strong factor structure of test assets, or skewed test statistics largely explain this. In this paper we use the relative entropy of pric...

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Detalles Bibliográficos

Principais autores:	Javier Rojo-Suárez, Ana Belén Alonso-Conde
Formato:	Artigo
Idioma:	Inglês
Publicado:	MDPI AG 2020-06-01
Series:	Entropy
Assuntos:	pricing kernel factor-mimicking portfolio relative entropy Kullback-Leibler divergence Hansen-Jagannathan bound CAPM
Acceso en liña:	https://www.mdpi.com/1099-4300/22/7/721
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