Abstract
Asset pricing models are concerned with determining the expected returns of assets whose payoffs are risky. Explicitly, these models analyze the relationship between risk and expected return, and address the crucial question of how to value risk. This review summarizes some of the methodology currently available for estimating and evaluating Beta and stochastic discount factor (SDF) models such as time-series regression, cross-sectional regression, Fama-MacBeth procedure, and the generalized method of moments (GMM).
| Original language | English |
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| Number of pages | 115 |
| Publication status | Published - 2009 |