Publication Date
2024
Document Type
Dissertation/Thesis
First Advisor
Ryu, Duchwan
Degree Name
M.S. (Master of Science)
Legacy Department
Department of Statistics and Actuarial Science
Abstract
The traditional two-pass regression to estimate risk premium has shortcomings. To get the correct asymptotic standard errors, we need to estimate both time-series regressions and cross-sectional regressions simultaneously. The Generalized Method of Moments (GMM) effectively addresses this issue by its nature fit of asset pricing model. In this paper, I re-examine the risk premium of Carhart’s four-factor model by integrating time-series and cross-sectional regressions within the GMM framework, which enhances the accuracy and reliability of the risk premium estimates.
Recommended Citation
Liu, Yuzhou, "GMM and Asset Pricing Model" (2024). Graduate Research Theses & Dissertations. 7970.
https://huskiecommons.lib.niu.edu/allgraduate-thesesdissertations/7970
Extent
32 pages
Language
en
Publisher
Northern Illinois University
Rights Statement
In Copyright
Rights Statement 2
NIU theses are protected by copyright. They may be viewed from Huskie Commons for any purpose, but reproduction or distribution in any format is prohibited without the written permission of the authors.
Media Type
Text
