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Specification tests of asset pricing models using excess returns
16 references·7 citing·34 second hop
Specification tests of asset pricing models using excess returns (2008)Specification tests of asset pricing mode…Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns (2007)Lazy Investors, Discretionary…Estimating and testing beta pricing models: Alternative methods and their performance in simulations☆ (2007)Estimating and testing beta p…Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Nonlinear Pricing Kernels, Ku…Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Resurrecting the (C)CAPM: A C…Evaluating the specification errors of asset pricing models (2001)Evaluating the specification …Explaining the Poor Performance of Consumption‐based Asset Pricing Models (2000)Explaining the Poor Performan…Two‐Pass Tests of Asset Pricing Models with Useless Factors (1999)Two‐Pass Tests of Asset Prici…Assessing Specification Errors in Stochastic Discount Factor Models (1997)Assessing Specification Error…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Finite-Sample Properties of Some Alternative GMM Estimators (1996)Finite-Sample Properties of S…Econometric Evaluation of Asset Pricing Models (1995)Econometric Evaluation of Ass…Understanding Risk and Return (1993)Understanding Risk and ReturnCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Multivariate tests of the zero-beta CAPM (1985)Multivariate tests of the zer…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…Common pricing across asset classes: Empirical evidence revisited (2020)Common pricing across asset c…Financial liberalization and cross-border market integration: Evidence from China's stock market (2018)Financial liberalization and …Inference on Risk Premia in the Presence of Omitted Factors (2017)Inference on Risk Premia in t…Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns (2015)Identification and Inference …A Unifying Approach to the Empirical Evaluation of Asset Pricing Models (2014)A Unifying Approach to the Em…Empirical Cross-Sectional Asset Pricing (2013)Empirical Cross-Sectional Ass…Chi-squared tests for evaluation and comparison of asset pricing models (2012)Chi-squared tests for evaluat…Risk, Return, and Equilibrium: Empirical Tests (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Size-related anomalies and stock return seasonality (1983)On the Cross-Sectional Relation between Expected Returns and Betas (1994)Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia Wre Time-Varying (2000)The specification of conditional expectations (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Asset Prices under Habit Formation and Catching up with the Joneses (1990)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)GMM Estimation of Empirical Growth Models (2001)Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators (2003)The arbitrage theory of capital asset pricing (1976)Macroeconomics and Reality (1980)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)… and the Cross-Section of Expected Returns (2015)Multifactor Explanations of Asset Pricing Anomalies (1996)A consumption-based model of the term structure of interest rates☆ (2005)Ex Ante Skewness and Expected Stock Returns (2012)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Editor's Choice Digesting Anomalies: An Investment ApproachTHE 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.] (1975)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology (2013)Which Alpha? (2016)Investor Psychology and Asset Pricing (2001)Investor Sentiment and the Cross-Section of Stock Returns (2003)The Value Premium (2005)A skeptical appraisal of asset pricing tests☆ (2009)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1993Understanding Risk and Return1,797 cited
  • 2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying1,445 cited
  • 1996Finite-Sample Properties of Some Alternative GMM Estimators1,277 cited
  • 2002Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns840 cited
  • 1985Multivariate tests of the zero-beta CAPM436 cited
  • 1999Two‐Pass Tests of Asset Pricing Models with Useless Factors330 cited
  • 2000Explaining the Poor Performance of Consumption‐based Asset Pricing Models313 cited
  • 2007Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns311 cited
  • 1997Assessing Specification Errors in Stochastic Discount Factor Models240 cited
  • 2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations☆235 cited
  • 2001Evaluating the specification errors of asset pricing models

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219 cited
  • 1995Econometric Evaluation of Asset Pricing Models202 cited
  • Cited by

    • 2015Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns67 cited
    • 2013Empirical Cross-Sectional Asset Pricing65 cited
    • 2012Chi-squared tests for evaluation and comparison of asset pricing models62 cited
    • 2018Financial liberalization and cross-border market integration: Evidence from China's stock market52 cited
    • 2014A Unifying Approach to the Empirical Evaluation of Asset Pricing Models46 cited
    • 2020Common pricing across asset classes: Empirical evidence revisited39 cited
    • 2017Inference on Risk Premia in the Presence of Omitted Factors28 cited