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Cross-Sectional Asset Pricing Tests

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Author Info

  • Ravi Jagannathan
  • Ernst Schaumburg
  • Guofu Zhou

    ()
    (Kellogg School of Management, Northwestern University, Evanston, Illinois 60208; NBER, Cambridge, Massachusetts 02138
    Federal Reserve Bank, New York, New York 10045
    Olin School of Business, Washington University, St. Louis, Missouri 63130)

Abstract

A major problem in finance is to understand why different financial assets earn vastly different returns on average. In this paper, we survey various econometric approaches that have been developed to empirically examine various asset pricing models used to explain the difference in cross section of security returns. The approaches range from regressions to the generalized method of moments, and the associated asset pricing models are both conditional and unconditional. In addition, we review some of the major empirical studies.

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File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev-financial-120209-133954
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Bibliographic Info

Article provided by Annual Reviews in its journal Annual Review of Financial Economics.

Volume (Year): 2 (2010)
Issue (Month): 1 (December)
Pages: 49-74

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Handle: RePEc:anr:refeco:v:2:y:2010:p:49-74

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Related research

Keywords: factor models; stochastic discount factor; asset pricing tests;

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Cited by:
  1. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer, vol. 26(1), pages 3-38, March.

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