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Empirical Testing of Asset Pricing Models

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Author Info
Bruce N. Lehmann
Abstract

This essay reviews the extensive literature on empirical testing of asset pricing models. It briefly describes the kinds of asset pricing models typically tested in the literature and explicates their econometric implications, both in terms of the estimation of relevant parameters and tests of their implied restrictions. Pertinent aspects of the available data on security prices and macroeconomic variables are discussed as well. The essay concludes with the examination of selected aspects of the current empirical state of asset pricing theory.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 4043.

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Date of creation: Apr 1992
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Handle: RePEc:nbr:nberwo:4043

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    Other versions:
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  13. Grossman, Sanford J. & Shiller, Robert J., 1982. "Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information," Journal of Financial Economics, Elsevier, vol. 10(2), pages 195-210, July. [Downloadable!] (restricted)
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  24. Gibbons, Michael R., 1982. "Multivariate tests of financial models : A new approach," Journal of Financial Economics, Elsevier, vol. 10(1), pages 3-27, March. [Downloadable!] (restricted)
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