IDEAS home Printed from https://ideas.repec.org/a/bla/jfinan/v52y1997i2p591-607.html
   My bibliography  Save this article

Assessing Goodness-of-Fit of Asset Pricing Models: The Distribution of the Maximal R-Squared

Author

Listed:
  • Foster, F Douglas
  • Smith, Tom
  • Whaley, Robert E

Abstract

The development of asset pricing models that rely on instrumental variables together with the increased availability of easily accessible economic time-series have renewed interest in predicting security returns. Evaluating the significance of these new research findings, however, is no easy task. Because these asset pricing theory tests are not independent, classical methods of assessing goodness-of-fit are inappropriate. This study investigates the distribution of the maximal R-square when k of m regressors are used to predict security returns. The authors provide a simple procedure that adjusts critical R-square values to account for selecting variables by searching among potential regressors. Copyright 1997 by American Finance Association.

Suggested Citation

  • Foster, F Douglas & Smith, Tom & Whaley, Robert E, 1997. " Assessing Goodness-of-Fit of Asset Pricing Models: The Distribution of the Maximal R-Squared," Journal of Finance, American Finance Association, vol. 52(2), pages 591-607, June.
  • Handle: RePEc:bla:jfinan:v:52:y:1997:i:2:p:591-607
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0022-1082%28199706%2952%3A2%3C591%3AAGOAPM%3E2.0.CO%3B2-V&origin=repec
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:52:y:1997:i:2:p:591-607. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/afaaaea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.