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1、EconometricEvaluationofAssetPricingModelsLarsPeterHansenUniversityofChicago,NBER,andNORCJohnHeatonMITandNBERErzoG.J.LuttmerNorthwesternUniversityInthisarticleweprovideeconometrictoolsfortheevaluationofintertemporalassetpricingmodelsusingspecification-errorandv
2、olatilitybounds.Weformulateanalogestimatorsofthesebounds,giveconditionsforconsistency,andde-rivethelimitingdistributionoftheseestima-tors.Theanalysisincorporatesmarketfrictionssuchasshort-saleconstraintsandproportionaltransactionscosts.Amongseveralapplications
3、weshowhowtousethemethodstoassessspe-cificassetpricingmodelsandtoprovidenon-parametriccharacterizatonsofassetpricinganomalies.Inthisarticleweprovidestatisticalmethodsforas-sessingassetpricingmodelsusingspecification-errorandvolatilitybounds.Thestatisticalproced
4、urescanaccountformarketfrictionsduetotransactionscostsorshort-saleconstraintsandareeasiertointerpretWethankCraigBurnside,BoHonoré,AndrewLo,MarcRoston,WhitneyNewey,JoséScheinkman,Jean-LucVila,JiangWang,AmirYaron,andes-peciallyRaviJagannathan,RichardGreen(theedi
5、tor),andananonymousrefereeforhelpfulcommentsanddiscussions.Wealsoreceivedvaluableremarksfromseminarparticipantsatthe1992meetingsoftheSocietyofEconomicDynamicsandControl,atthe1992NBERSummerInstitute,andatCornell,Duke,LSE,andWaterloouniversities.Finally,wegratef
6、ullyac-knowledgethefinancialassistanceoftheInternationalFinancialServicesResearchCenteratMIT.(Heaton),theNationalScienceFoundation(HansenandHeaton),andtheSloanFoundation(HeatonandLuttmer).Addresscur-respondencetoJohnHeaton,SloanSchoolofManagement,E52-435,MIT,5
7、0MemorialDrive,Cambridge,MA02142.TheReviewofFinancialStudiesSummer1995Vol.8,No.2,pp.237-274©1995TheReviewofFinancialStudies0893-9454/95/$1.50thanarestandardtestsofassetpricingmodels.Forthemostpartthesemethodsarequiteeasytoimplement,evenwhenmarketfrictionsareco
8、nsidered.Theyaredesignedtoprovideabetterunderstandingofthestatisticalfailuresofsomepopularassetpricingmodelsandtoofferguidanceinimprovingthesemodels.Modelsofassetpricingwithfrictio
