1. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June. [Downloadable!] (restricted)
2. Kandel, Shmuel & Stambaugh, Robert F, 1989. "A Mean-Variance Framework for Tests of Asset Pricing Models," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 2(2), pages 125-56. [Downloadable!] (restricted)
   Other versions:
   • Shumel Kandel & Robert F. Stambaugh, . "A Mean-Variance Framework for Tests for Asset Pricing Models," Rodney L. White Center for Financial Research Working Papers 25-88, Wharton School Rodney L. White Center for Financial Research.
3. Ravi Jagannathan & Zhenyu Wang, 1993. "The CAPM is alive and well," Staff Report 165, Federal Reserve Bank of Minneapolis. [Downloadable!]
   Other versions:
   • Ravi Jagannathan & Zhenyu Wang, 1994. "The Capm Is Alive And Well," Finance 9402001, EconWPA. [Downloadable!]
4. Shanken, Jay, 1985. "Multivariate tests of the zero-beta CAPM," Journal of Financial Economics, Elsevier, vol. 14(3), pages 327-348, September. [Downloadable!] (restricted)
5. Ross, Stephen A, 1977. "The Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues," Journal of Finance, American Finance Association, vol. 32(1), pages 177-83, March. [Downloadable!] (restricted)
6. Kandel, Shmuel & Stambaugh, Robert F., 1987. "On correlations and inferences about mean-variance efficiency," Journal of Financial Economics, Elsevier, vol. 18(1), pages 61-90, March. [Downloadable!] (restricted)
7. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March. [Downloadable!] (restricted)
8. Shanken, Jay, 1987. "Multivariate proxies and asset pricing relations : Living with the Roll critique," Journal of Financial Economics, Elsevier, vol. 18(1), pages 91-110, March. [Downloadable!] (restricted)
9. Shanken, Jay, 1992. "On the Estimation of Beta-Pricing Models," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(1), pages 1-33. [Downloadable!] (restricted)
10. Roll, Richard, 1985. "A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency," Journal of Financial Economics, Elsevier, vol. 14(3), pages 349-357, September. [Downloadable!] (restricted)

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

1. Hanno Lustig, 2004. "Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance," UCLA Economics Online Papers 300, UCLA Department of Economics. [Downloadable!]
2. Ronald J. Balvers & Dayong Huang, 2005. "Evaluation of Linear Asset Pricing Models by Implied Portfolio Performance," Working Papers 05-06, Department of Economics, West Virginia University, revised Jun 2005. [Downloadable!]
3. John Y. Campbell & John H. Cochrane, 1999. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," NBER Working Papers 7237, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • John Y. Campbell & John H. Cochrane, 2000. "Explaining the Poor Performance of Consumption-based Asset Pricing Models," Journal of Finance, American Finance Association, vol. 55(6), pages 2863-2878, December. [Downloadable!] (restricted)
4. Anthony W. Lynch, 2000. "Portfolio Choice and Equity Characteristics: Characterizing the Hedging Demands Induced by Return Predictability," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-073, New York University, Leonard N. Stern School of Business-. [Downloadable!]
5. Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, EconWPA. [Downloadable!]
6. Jay Shanken & Guofu Zhou, 2006. "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations," NBER Working Papers 12055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Shanken, Jay & Zhou, Guofu, 2007. "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," Journal of Financial Economics, Elsevier, vol. 84(1), pages 40-86, April. [Downloadable!] (restricted)
7. Moshe Levy & Yaacov Ritov, 2001. "Portfolio Optimization with Many Assets: The Importance of Short-Selling," University of California at Los Angeles, Anderson Graduate School of Management 1006, Anderson Graduate School of Management, UCLA. [Downloadable!]
8. C. J. Adcock, E. A. Clark, 1999. "Beta lives - some statistical perspectives on the capital asset pricing model," European Journal of Finance, Taylor and Francis Journals, vol. 5(3), pages 213-224, September. [Downloadable!] (restricted)
9. Ronald J. Balvers & Dayong Huang, 2005. "Productivity-Based Asset Pricing: Theory and Evidence," Working Papers 05-05, Department of Economics, West Virginia University. [Downloadable!]
   Other versions:
   • Balvers, Ronald J. & Huang, Dayong, 2007. "Productivity-based asset pricing: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 86(2), pages 405-445, November. [Downloadable!] (restricted)
10. Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Christopherson, Jon A & Ferson, Wayne E & Glassman, Debra A, 1998. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 11(1), pages 111-42.
11. Jonathan Lewellen & Stefan Nagel, 2003. "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers 9974, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Lewellen, Jonathan & Nagel, Stefan, 2003. "The Conditional CAPM Does Not Explain Asset-pricing Anomalies," Working papers 4427-03, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    • Lewellen, Jonathan & Nagel, Stefan, 2006. "The conditional CAPM does not explain asset-pricing anomalies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 289-314, November. [Downloadable!] (restricted)
12. Jonathan Lewellen & Stefan Nagel & Jay Shanken, 2006. "A Skeptical Appraisal of Asset-Pricing Tests," NBER Working Papers 12360, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
13. Ravi Jagannathan & Keiichi Kubota & Hitoshi Takehara, 1997. "Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market," Discussion Paper / Institute for Empirical Macroeconomics 117, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
    • Jagannathan, Ravi & Kubota, Keiichi & Takehara, Hitoshi, 1998. "Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market," Journal of Business, University of Chicago Press, vol. 71(3), pages 319-47, July. [Downloadable!] (restricted)
14. Pierluigi Balduzzi & Cesare Robotti, 2005. "Mimicking portfolios, economic risk premia, and tests of multi-beta models," Working Paper 2005-04, Federal Reserve Bank of Atlanta. [Downloadable!]