کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960272 | 929430 | 2010 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A skeptical appraisal of asset pricing tests
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
It has become standard practice in the cross-sectional asset pricing literature to evaluate models based on how well they explain average returns on size-B/M portfolios, something many models seem to do remarkably well. In this paper, we review and critique the empirical methods used in the literature. We argue that asset pricing tests are often highly misleading, in the sense that apparently strong explanatory power (high cross-sectional R2s and small pricing errors) can provide quite weak support for a model. We offer a number of suggestions for improving empirical tests and evidence that several proposed models do not work as well as originally advertised.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 96, Issue 2, May 2010, Pages 175–194
Journal: Journal of Financial Economics - Volume 96, Issue 2, May 2010, Pages 175–194
نویسندگان
Jonathan Lewellen, Stefan Nagel, Jay Shanken,