Econometric evaluation of asset pricing models

In this article we provide econometric tools for the evaluationof intertemporal asset pricing models using specification-errorand volatility bounds. We formulate analog estimators of thesebounds, give conditions for consistency, and derive the limitingdistribution of these estimators. The analysis incorporatesmarket frictions such as short-sale constraints and proportionaltransactions costs. Among several applications we show how touse the methods to assess specific asset pricing models andto provide non-parametric characterizations of asset pricinganomalies.