Sensitivity, Moment Conditions, and the Risk-free Rate in Yogo (2006)
Sensitivity, Moment Conditions, and the Risk-free Rate in Yogo (2006)
复制标题
Yogo 中的灵敏度、矩条件和无风险利率 (2006)
DOI：
10.2139/ssrn.2855792
复制
发表时间：
2016
期刊：
影响因子：
--
通讯作者：
Giuseppe Ragusa
中科院分区：
文献类型：
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作者：
Nicola Borri;Giuseppe Ragusa
在本文中，我们表明 Yogo 的开创性论文《基于消费的预期股票回报的解释》中提出的结果无法复制。我们发现了对参数的不同估计，并且获得了比原始论文中的值大得多的过度识别统计值，表明对耐用消费资产定价模型的拒绝。通过仔细检查 Yogo 的复制文件，我们能够找到编码错误的不一致之处。持久模型的拒绝体现在它无法同时解释无风险利率和超额股票收益。
In this paper we show that results presented in the seminal paper by Yogo, A Consumption Based Explanation of Expected Stock Returns, cannot be replicated. We find different estimates for the parameters and we obtain values of over-identified statistics that being much larger than those in the original paper indicate rejection of the durable consumption asset pricing model. By careful inspection of Yogo’s replication files, we were able to track down the inconsistency to a coding bug. The rejection of the durable model is exemplified by its inability to simultaneously explain the risk-free rate and excess stock returns.