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Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples

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  • Frank Kleibergen
  • Lingwei Kong
  • Zhaoguo Zhan

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  • Frank Kleibergen & Lingwei Kong & Zhaoguo Zhan, 2023. "Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 311-315.
    • Handle: RePEc:oup:jfinec:v:21:y:2023:i:2:p:311-315.
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    References listed on IDEAS

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    1. Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets," Econometrica, Econometric Society, vol. 84, pages 985-1046, May.
    2. Francisco Peñaranda & Enrique Sentana, 2015. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 412-435, May.
    3. Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2020. "Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference," CIRANO Working Papers 2020s-30, CIRANO.
    4. Raymond Kan & Chu Zhang, 1999. "Two‐Pass Tests of Asset Pricing Models with Useless Factors," Journal of Finance, American Finance Association, vol. 54(1), pages 203-235, February.
    5. Valentina Raponi & Cesare Robotti & Paolo Zaffaroni & Andrew Karolyi, 2020. "Testing Beta-Pricing Models Using Large Cross-Sections," The Review of Financial Studies, Society for Financial Studies, vol. 33(6), pages 2796-2842.
    6. Frank Kleibergen & Zhaoguo Zhan, 2021. "Double robust inference for continuous updating GMM," Papers 2105.08345, arXiv.org.
    7. Craig Burnside, 2016. "Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 295-330.
    8. Frank Kleibergen & Zhaoguo Zhan, 2022. "Misspecification and Weak Identification in Asset Pricing," Papers 2206.13600, arXiv.org.
    9. Kleibergen, Frank, 2009. "Tests of risk premia in linear factor models," Journal of Econometrics, Elsevier, vol. 149(2), pages 149-173, April.
    10. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    11. Frank Kleibergen & Zhaoguo Zhan, 2020. "Robust Inference for Consumption‐Based Asset Pricing," Journal of Finance, American Finance Association, vol. 75(1), pages 507-550, February.
    12. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2007. "Multivariate Tests of MeanVariance Efficiency With Possibly Non-Gaussian Errors: An Exact Simulation-Based Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 398-410, October.
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