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.

Sensitivity, Moment Conditions, and the Risk-free Rate in Yogo (2006) / Borri, Nicola; Ragusa, Giuseppe. - In: CRITICAL FINANCE REVIEW. - ISSN 2164-5744. - 6:2(2017), pp. 381-393. [10.1561/104.00000050]

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

BORRI, NICOLA;RAGUSA, GIUSEPPE
2017

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.
File in questo prodotto:
File Dimensione Formato  
borri-ragusa.pdf

Open Access

Tipologia: Documento in Pre-print
Licenza: DRM non definito
Dimensione 188.39 kB
Formato Adobe PDF
188.39 kB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

Caricamento pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11385/170981
Citazioni
  • Scopus 0
  • ???jsp.display-item.citation.isi??? 0
social impact