Comparing asset pricing models: an investment perspective
Year: 2000
Type: article
Abstract: We investigate the portfolio choices of mean-variance-optimizing investors who use sample evidence to update prior beliefs centered on either risk-based or characteristic-based pricing models. With dogmatic beliefs in such models and an unconstrained ratio of position size to capital, optimal portfolios can differ across models to economically significant degrees. The differences are substantially reduced by modest uncertainty about the models’ pricing abilities. When the ratio of position size to capital is subject to realistic constraints, the differences in portfolios across models become even less important and are nonexistent in some cases.
Source: Journal of Financial Economics
Authors: Ľuboš Pástor, Robert F. Stambaugh
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $4,740
OpenAlex ID: W3124539167