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Empirical Cross-Sectional Asset Pricing

In: Essentials of Financial Economics

Author

Listed:
  • Michael Donadelli

    (University of Brescia)

  • Michele Costola

    (Ca’ Foscari University of Venice)

  • Ivan Gufler

    (Luiss Guido Carli)

Abstract

Understanding why different assets generate varying rates of return is one of the cornerstone questions in finance. Although daily return fluctuations are often attributed to the arrival of new market information, the broader question of what drives differences in average returns across securities requires deeper exploration. Asset pricing models play a crucial role in uncovering these underlying factors, offering frameworks to explain how risks, market conditions, and investor behavior influence the long-term performance of different financial assets. Cross-sectional asset pricing aims to explain why different assets earn different average returns. Unlike time-series models (which focus on how an asset’s return varies over time), cross-sectional models examine how returns vary across assets at a given point in time.

Suggested Citation

  • Michael Donadelli & Michele Costola & Ivan Gufler, 2025. "Empirical Cross-Sectional Asset Pricing," Springer Texts in Business and Economics, in: Essentials of Financial Economics, chapter 7, pages 187-202, Springer.
    • Handle: RePEc:spr:sptchp:978-3-031-86189-5_7
    DOI: 10.1007/978-3-031-86189-5_7
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