Further Tests of the ZCAPM Asset Pricing Model

The Capital Asset Pricing Model: Some Empirical Tests

Considerable attention has recently been given to general equilibrium models of the pricing of capital assets. Of these, perhaps the best known is the mean-variance formulation originally developed by Sharpe (1964) and Treynor (1961), and extended and clarified by Lintner (1965a; 1965b), Mossin (1966), Fama (1968a; 1968b), and Long (1972). In addition Treynor (1965), Sharpe (1966), and Jensen (...

Cross Sectional Asset Pricing Tests

the washback effect of discretepoint vs. integrative tests on the retention of content in knowledge tests

در این پایان نامه تاثیر دو نوع تست جزیی نگر و کلی نگر بر به یادسپاری محتوا ارزیابی شده که نتایج نشان دهندهکارایی تستهای کلی نگر بیشتر از سایر آزمونها است

Asset Pricing Tests Using Realized Returns

Results from two-stage (cross-sectional) asset pricing tests vary with first-stage design choices and the test assets employed. First, I argue that time-varying loadings have higher construct validity as explanatory variables for the current expected return in that they do not contain future information and more accurately describe the timevarying risk of the firm. Second, I introduce randomly ...

Asset Pricing Tests Using Random Portfolios

Results from two-stage asset pricing tests vary with first-stage design choices and test assets. First, I argue that time-varying betas have higher construct validity than constant loadings as they are not conditional on future (returns) information and more accurately capture time-varying expected returns. Second, randomly generated portfolios as test assets yield, in contrast to the systemati...