{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,8]],"date-time":"2025-12-08T07:14:43Z","timestamp":1765178083992},"reference-count":55,"publisher":"The Econometric Society","issue":"1","license":[{"start":{"date-parts":[[2022,1,1]],"date-time":"2022-01-01T00:00:00Z","timestamp":1640995200000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["QE"],"abstract":"<jats:p>This paper shows that the consumption\u2010based capital asset pricing model (C\u2010CAPM) with low\u2010probability disaster risk rationalizes pricing errors. We find that implausible estimates of risk aversion and time preference are not puzzling if market participants expect a future catastrophic change in fundamentals, which just happens not to occur in the sample (a \u201cpeso problem\u201d). A bias in structural parameter estimates emerges as a result of pricing errors in quiet times. While the bias essentially removes the pricing error in the simple models when risk\u2010free rates are constant, time\u2010variation may also generate large and persistent \n            <jats:italic>estimated<\/jats:italic> pricing errors in simulated data. We also show analytically how the problem of biased estimates can be avoided in empirical research by resolving the misspecification in moment conditions.\n          <\/jats:p>","DOI":"10.3982\/qe1478","type":"journal-article","created":{"date-parts":[[2022,1,21]],"date-time":"2022-01-21T13:51:47Z","timestamp":1642773107000},"page":"259-313","source":"Crossref","is-referenced-by-count":2,"title":["Peso problems in the estimation of the C\u2010CAPM"],"prefix":"10.3982","volume":"13","author":[{"given":"Juan Carlos","family":"Parra-Alvarez","sequence":"first","affiliation":[{"name":"Department of Economics and Business Economics, Aarhus University"},{"name":"CREATES"},{"name":"Danish Finance Institute"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Olaf","family":"Posch","sequence":"additional","affiliation":[{"name":"Department of Economics, Universit\u00e4t 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