A robustness test of asset pricing models using individual security returns
Tests of asset-pricing models typically form portfolios of stocks (based oncriteria such as market capitalization and book-to-market values). Thevalidity of this approach has been debated (see, for example, Berk, 2000).We consider a simple method of testing asset-pricing models using thereturns of i...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Routledge, Taylor and Francis Ltd
2009
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| Online Access: | http://web.ebscohost.com/ehost/pdfviewer/pdfviewer?sid=1e6634f3-c36f-415e-98ac-aa82261669da%40sessionmgr14&vid=2&hid=10 http://hdl.handle.net/20.500.11937/4309 |