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Specification tests of asset pricing models using excess returns · Study

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ArticleSpecification tests of asset pricing models using excess returns

Raymond Kan2008

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Specification tests of asset pricing models using excess returns

Raymond Kan · Cesare Robotti

82 citations·0/0 files stored·Journal of Empirical Finance

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

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References

1993Common risk factors in the returns on stocks and bonds 1972Capital Market Equilibrium with Restricted Borrowing 1996The Conditional CAPM and the Cross-Section of Expected Returns 1989A Test of the Efficiency of a Given Portfolio 1993Understanding Risk and Return 2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying 1996Finite-Sample Properties of Some Alternative GMM Estimators 2002Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns

Cited by

2015Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns 2013Empirical Cross-Sectional Asset Pricing 2012Chi-squared tests for evaluation and comparison of asset pricing models 2018Financial liberalization and cross-border market integration: Evidence from China's stock market 2014A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 2020

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Year2008

Typearticle

Published2008-04-08

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations82

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jempfin.2008.03.003

openalex_workW3123950436

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Common pricing across asset classes: Empirical evidence revisited