| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12360 |
| 来源ID | Working Paper 12360 |
| A Skeptical Appraisal of Asset-Pricing Tests | |
| Jonathan Lewellen; Stefan Nagel; Jay Shanken | |
| 发表日期 | 2006-07-17 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | 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- and B/M-sorted 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) in fact provides quite weak support for a model. We offer a number of suggestions for improving empirical tests and evidence that several proposed models don%u2019t work as well as originally advertised. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w12360 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570017 |
| 推荐引用方式 GB/T 7714 | Jonathan Lewellen,Stefan Nagel,Jay Shanken. A Skeptical Appraisal of Asset-Pricing Tests. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12360.pdf（327KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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