Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology
研究了横截面回归R²作为模型表现度量的统计性质，推导了其渐近分布并开发了模型比较检验，发现大R²差异可能不显著，跨期CAPM表现最佳，消费CAPM对实验设计敏感。
ABSTRACT Over the years, many asset pricing studies have employed the sample cross‐sectional regression (CSR) R 2 as a measure of model performance. We derive the asymptotic distribution of this statistic and develop associated model comparison tests, taking into account the impact of model misspecification on the variability of the CSR estimates. We encounter several examples of large R 2 differences that are not statistically significant. A version of the intertemporal capital asset pricing model (CAPM) exhibits the best overall performance, followed by the Fama–French three‐factor model. Interestingly, the performance of prominent consumption CAPMs is sensitive to variations in experimental design.