SZodixStudyAcademic Library

Shelves Open access

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

Evaluating the specification errors of asset pricing models · Study

ArticleShelves

ArticleEvaluating the specification errors of asset pricing models

Robert J. Hodrick2001

Article2001

Evaluating the specification errors of asset pricing models

Robert J. Hodrick · Xiaoyan Zhang

219 citations·0/0 files stored·Journal of Financial Economics

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 — 219 citations exist upstream.

References

1993Common risk factors in the returns on stocks and bonds 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1992The Cross-Section of Expected Stock Returns 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1997Postwar U.S. Business Cycles: An Empirical Investigation 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.]1996Multifactor Explanations of Asset Pricing Anomalies 1973

Related works

Explore the map →

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

2011Empirical cross-sectional asset pricing: a surveyarticle · 19 shared references 2007Cross‐sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Marketarticle · 18 shared references 2010The Analysis of the Cross-Section of Security Returnschapter · 18 shared references 2000Evaluating the Specification Errors of Asset Pricing Modelsreport · 17 shared references 2005Financial Markets and the Real Economychapter · 16 shared references 2000Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia Wre Time-Varyingpreprint · 16 shared references

Details

Year2001

Typearticle

Published2001-11-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations219

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/s0304-405x(01)00080-0

openalex_workW2104547087

Links

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

An Intertemporal Capital Asset Pricing Model

Cited by

2012Testing Factor-Model Explanations of Market Anomalies 2008Expected returns, yield spreads, and asset pricing tests 2002Generalized Methods of Moments 2008Model Comparison Using the Hansen-Jagannathan Distance 2011Estimation and Evaluation of Conditional Asset Pricing Models 2006Sector Investment Growth Rates and the Cross Section of Equity Returns*2008Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation 2003Measuring and modeling systematic risk in factor pricing models using high-frequency data