SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

1 Econometric evaluation of asset pricing models · Study

ChapterShelves

Chapter1 Econometric evaluation of asset pricing models

Wayne E. Ferson1996

Chapter1996

1 Econometric evaluation of asset pricing models

Wayne E. Ferson · Ravi Jagannathan

46 citations·0/0 files stored·Handbook of statistics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 46 citations exist upstream.

References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1985A Theory of the Term Structure of Interest Rates 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1976The arbitrage theory of capital asset pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1973An Intertemporal Capital Asset Pricing Model

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

1995Chapter 5 Theory and empirical testing of asset pricing modelschapter · 64 shared references 2003Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performancereport · 38 shared references 2010Cross-Sectional Asset Pricing Testsreview · 33 shared references 2010The Analysis of the Cross-Section of Security Returnschapter · 32 shared references 2002Generalized Methods of Momentsarticle · 26 shared references 2000Asset Pricing at the Millenniumarticle · 25 shared references

Details

Year1996

Typechapter

Published1996-01-01

VenueHandbook of statistics

ISSN-L0169-7161

Languageen

Citations46

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/s0169-7161(96)14003-7

openalex_workW1568265841

Links

Imported from OpenAlex (CC0) — nothing here is generated.

Cited by

1999Asset pricing and portfolio performance: Models, strategy, and performance metrics 2011Advances in Consumption-Based Asset Pricing: Empirical Tests 2008Conditional performance evaluation for German equity mutual funds 2002Stochastic Discount Factor Bounds with Conditioning Information