1 option
Empirical Testing of Asset Pricing Models / Bruce N. Lehmann.
- Format:
- Book
- Author/Creator:
- Lehmann, Bruce N.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w4043.
- NBER working paper series no. w4043
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1992.
- Summary:
- This essay reviews the extensive literature on empirical testing of asset pricing models. It briefly describes the kinds of asset pricing models typically tested in the literature and explicates their econometric implications, both in terms of the estimation of relevant parameters and tests of their implied restrictions. Pertinent aspects of the available data on security prices and macroeconomic variables are discussed as well. The essay concludes with the examination of selected aspects of the current empirical state of asset pricing theory.
- Notes:
- Print version record
- April 1992.
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