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Comparing Asset Pricing Models: An Investment Perspective

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Lubos Pastor
Robert F. Stambaugh

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Paper provided by Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 16-99.

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Handle: RePEc:fth:pennfi:16-99

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  1. Daniel, Kent & Titman, Sheridan, 1997. " Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," Journal of Finance, American Finance Association, vol. 52(1), pages 1-33, March. [Downloadable!] (restricted)
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  2. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February. [Downloadable!] (restricted)
  3. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September. [Downloadable!] (restricted)
  4. Grinblatt, Mark & Titman, Sheridan, 1987. "The Relation between Mean-Variance Efficiency and Arbitrage Pricing," Journal of Business, University of Chicago Press, vol. 60(1), pages 97-112, January. [Downloadable!] (restricted)
  5. Ingersoll, Jonathan E, Jr, 1984. " Some Results in the Theory of Arbitrage Pricing," Journal of Finance, American Finance Association, vol. 39(4), pages 1021-39, September. [Downloadable!] (restricted)
  6. Kandel, Shmuel & McCulloch, Robert & Stambaugh, Robert F, 1995. "Bayesian Inference and Portfolio Efficiency," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 8(1), pages 1-53. [Downloadable!] (restricted)
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  7. Shanken, Jay, 1987. "A Bayesian approach to testing portfolio efficiency," Journal of Financial Economics, Elsevier, vol. 19(2), pages 195-215, December. [Downloadable!] (restricted)
  8. Wang, Zhenyu, 1998. "Efficiency loss and constraints on portfolio holdings1," Journal of Financial Economics, Elsevier, vol. 48(3), pages 359-375, June. [Downloadable!] (restricted)
  9. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December. [Downloadable!] (restricted)
  10. A. Craig MacKinlay & Lubos Pastor, 1999. "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," NBER Working Papers 7162, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  11. Kandel, Shmuel & Stambaugh, Robert F, 1996. " On the Predictability of Stock Returns: An Asset-Allocation Perspective," Journal of Finance, American Finance Association, vol. 51(2), pages 385-424, June. [Downloadable!] (restricted)
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  12. Klein, Roger W. & Bawa, Vijay S., 1976. "The effect of estimation risk on optimal portfolio choice," Journal of Financial Economics, Elsevier, vol. 3(3), pages 215-231, June. [Downloadable!] (restricted)
  13. Huberman, Gur & Kandel, Shmuel & Stambaugh, Robert F, 1987. " Mimicking Portfolios and Exact Arbitrage Pricing," Journal of Finance, American Finance Association, vol. 42(1), pages 1-9, March. [Downloadable!] (restricted)
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