A robustness test of asset-pricing models using individual security returns

被引:4
作者
Limkriangkrai, Manapon [2 ]
Durand, Robert B. [1 ]
Watson, Iain [1 ]
机构
[1] Univ Western Australia, Crawley 6009, Australia
[2] Halifax Bank Scotland Australia, Perth, WA, Australia
关键词
D O I
10.1080/17446540802277179
中图分类号
F [经济];
学科分类号
02 ;
摘要
Tests of asset-pricing models typically form portfolios of stocks (based on criteria such as market capitalization and book-to-market values). The validity of this approach has been debated (see, for example, Berk, 2000). We consider a simple method of testing asset-pricing models using the returns of individual securities and illustrate the approach in a test of the robustness of analyses reported by Durand et al. (2006) and Limkriangkrai et al. (2008).
引用
收藏
页码:629 / 637
页数:9
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