Empirical Evaluation of Asset‐Pricing Models: A Comparison of the SDF and Beta Methods
比较了随机贴现因子（SDF）法和经典贝塔法在资产定价模型实证分析中的效率与检验效力，证明SDF法在估计风险溢价和模型设定检验上不逊于贝塔法。
ABSTRACT The stochastic discount factor (SDF) method provides a unified general framework for econometric analysis of asset‐pricing models. There have been concerns that, compared to the classical beta method, the generality of the SDF method comes at the cost of efficiency in parameter estimation and power in specification tests. We establish the correct framework for comparing the two methods and show that the SDF method is as efficient as the beta method for estimating risk premiums. Also, the specification test based on the SDF method is as powerful as the one based on the beta method.