John M. Griffin
Empirical Methods in Finance
 

Conditional Pricing, Assignment #3: Due September 10, 10:30am

Mini-Assignment

Goal: Learn to use GMM estimation and understand a few basics of conditional asset pricing.

Step 1. Evaluate Predictability. Replicate Table 2 in Harvey (1989). Report coefficients and in and out of sample adjusted R². Report this from 1941 to 87 and 1988 to present.

Step 2. Replicate Table 5 in Harvey (1989). Do this from 1941 to 1987 and then 1988 to present.

 

Report at least one other way to evaluate the robustness of the results.

Discuss your overall conclusion.

 Prepare a neat and well organized report!