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: | , , |
|---|---|
| Format: | Journal Article |
| Published: |
Routledge, Taylor and Francis Ltd
2009
|
| 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 |
| _version_ | 1848744479716016128 |
|---|---|
| author | Limkriangkrai, M. Durand, Robert Watson, I. |
| author_facet | Limkriangkrai, M. Durand, Robert Watson, I. |
| author_sort | Limkriangkrai, M. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 individual securities and illustrate the approach in a test of therobustness of analyses reported by Durand et al. (2006) and Limkriangkraiet al. (2008). |
| first_indexed | 2025-11-14T06:02:07Z |
| format | Journal Article |
| id | curtin-20.500.11937-4309 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:02:07Z |
| publishDate | 2009 |
| publisher | Routledge, Taylor and Francis Ltd |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-43092017-02-28T01:52:34Z A robustness test of asset pricing models using individual security returns Limkriangkrai, M. Durand, Robert Watson, I. 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 individual securities and illustrate the approach in a test of therobustness of analyses reported by Durand et al. (2006) and Limkriangkraiet al. (2008). 2009 Journal Article http://hdl.handle.net/20.500.11937/4309 http://web.ebscohost.com/ehost/pdfviewer/pdfviewer?sid=1e6634f3-c36f-415e-98ac-aa82261669da%40sessionmgr14&vid=2&hid=10 Routledge, Taylor and Francis Ltd restricted |
| spellingShingle | Limkriangkrai, M. Durand, Robert Watson, I. A robustness test of asset pricing models using individual security returns |
| title | A robustness test of asset pricing models using individual security returns |
| title_full | A robustness test of asset pricing models using individual security returns |
| title_fullStr | A robustness test of asset pricing models using individual security returns |
| title_full_unstemmed | A robustness test of asset pricing models using individual security returns |
| title_short | A robustness test of asset pricing models using individual security returns |
| title_sort | robustness test of asset pricing models using individual security returns |
| url | 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 |