IDEAS home Printed from https://ideas.repec.org/a/now/jnlcfr/104.00000050.html
   My bibliography  Save this article

Sensitivity, Moment Conditions, and the Risk-Free Rate in Yogo (2006)

Author

Listed:
  • Borri, Nicola
  • Ragusa, Giuseppe

Abstract

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.

Suggested Citation

  • Borri, Nicola & Ragusa, Giuseppe, 2017. "Sensitivity, Moment Conditions, and the Risk-Free Rate in Yogo (2006)," Critical Finance Review, now publishers, vol. 6(2), pages 381-393, September.
    • Handle: RePEc:now:jnlcfr:104.00000050
    DOI: 10.1561/104.00000050
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1561/104.00000050
    Download Restriction: no
    File URL: https://libkey.io/10.1561/104.00000050?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Okubo, Masakatsu, 2023. "The moment restrictions for the durable consumption model with recursive utility revisited," Finance Research Letters, Elsevier, vol. 52(C).
    2. Laurinaityte, Nora & Meinerding, Christoph & Schlag, Christian & Thimme, Julian, 2020. "GMM weighting matrices incross-sectional asset pricing tests," Discussion Papers 62/2020, Deutsche Bundesbank.
    3. Magomet Yandiev, 2021. "Risk-Free Rate in the Covid-19 Pandemic: Application Mistakes and Conclusions for Traders," Papers 2111.07075, arXiv.org.

    More about this item

    Keywords

    Equity premium; Nonlinear GMM estimation; Durable model;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:now:jnlcfr:104.00000050. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Lucy Wiseman (email available below). General contact details of provider: http://www.nowpublishers.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.