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Asset Pricing Theory and Tests (International Library of Critical Writings in Financial Economics) Book

Asset Pricing Theory and Tests (International Library of Critical Writings in Financial Economics)
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  • Asset Pricing Theory and Tests (International Library of Critical Writings in Financial Economics)
  • Written by author Robert R. Grauer
  • Published by Elgar, Edward Publishing, Inc., March 2003
Buy Digital  USD$530.00

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Vol. 1
Acknowledgementsvii
Forewordix
Introductionxi
Part IAn Overview of Asset Pricing Theory
1.'Capital Asset Prices with and without Negative Holdings', Journal of Finance, XLVI (2), June, 489-509 (1991)3
2.'An Aggregation Theorem for Securities Markets', Journal of Financial Economics, 1, 225-44 (1974)24
3.'An Intertemporal Capital Asset Pricing Model', Econometrica, 41 (5), September, 867-87 (1973)44
4.'The Valuation of Uncertain Income Streams and the Pricing of Options', Bell Journal of Economics, 7 (2), Autumn, 407-25 (1976)65
5.'An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities', Journal of Financial Economics, 7, 265-96 (1979)84
6.'Intertemporal Asset Pricing without Consumption Data', American Economic Review, 83 (3), June, 487-512 (1993)116
7.'Return, Risk, and Arbitrage', in Irwin Friend and James Bicksler (eds), Risk and Return in Finance, Volume I, Section 9, Cambridge, MA: Ballinger Publishing Company, 189-218 (1977)142
Part IIPre-1990 Tests of the Mean-Variance Capital Asset Pricing Model
8.'A Test of the Efficiency of a Given Portfolio', Econometrica, 57 (5), September, 1121-52 (1989)175
9.'Capital Markets: Theory and Evidence', Bell Journal of Economics and Management Science, 3 (2), Autumn, 357-98 (1972)207
10.'A Critique of the Asset Pricing Theory's Tests. Part I: On Past and Potential Testability of the Theory', Journal of Financial Economics, 4, 129-76 (1977)249
11.'An Alternative Test of the Capital Asset Pricing Model', American Economic Review, 70 (4), September, 660-71 (1980)297
12.'An Alternative Test of the Capital Asset Pricing Model: Reply', American Economic Review, 72 (5), December, 1201-7 (1982)309
13.'The Stationary Distribution of Returns and Portfolio Separation in Capital Markets: A Fundamental Contradiction', Journal of Financial and Quantitative Analysis, September, 393-401 (1976)316
Part IIIPost-1990 Tests of the Mean-Variance Capital Asset Pricing Model: Anomalies and Fama and French's Three-Factor Model
14.'Efficient Capital Markets: II', Journal of Finance, XLVI (5), December, 1575-617 (1991)327
15.'The Cross-Section of Expected Stock Returns', Journal of Finance, XLVII (2), June, 427-65 (1992)370
16.'Multifactor Explanations of Asset Pricing Anomalies', Journal of Finance, LI (1), March, 55-84 (1996)409
Name Index439
Vol. 2
Acknowledgementsvii
An Introduction by the editor to both volumes appears in Volume 1
Part IVPost-1990 Tests of the Mean-Variance Capital Asset Pricing Model: Criticisms of Testing Methods Together with Behavioral and Conditional Alternatives to the Mean-Variance and Three-Factor Models
1.'Data-Snooping Biases in Tests of Financial Asset Pricing Models', Review of Financial Studies, 3 (3), 431-67 (1990)3
2.'Multifactor Models Do Not Explain Deviations from the CAPM', Journal of Financial Economics, 38, 3-28 (1995)40
3.'Another Look at the Cross-section of Expected Stock Returns', Journal of Finance, L (1), March, 185-224 (1995)66
4.'On the Cross-sectional Relation between Expected Returns and Betas', Journal of Finance, XLIX (1), March, 101-21 (1994)106
5.'Portfolio Inefficiency and the Cross-section of Expected Returns', Journal of Finance, L (1), March, 157-84 (1995)127
6.'On the Cross-sectional Relation between Expected Returns, Betas, and Size', Journal of Finance, LIV (2), April, 773-89 (1999)155
7.'Two-Pass Tests of Asset Pricing Models with Useless Factors', Journal of Finance, LIV (1), February, 203-35 (1999)172
8.'Contrarian Investment, Extrapolation, and Risk', Journal of Finance, XLIX (5), December, 1541-78 (1994)205
9.'The Conditional CAPM and the Cross-section of Expected Returns', Journal of Finance, LI (1), March, 3-53 (1996)243
10.'Conditioning Variables and the Cross Section of Stock Returns', Journal of Finance, LIV (4), August, 1325-60 (1999)294
Part VTests of the Linear Risk Tolerance Capms
11.'Generalized Two Parameter Asset Pricing Models: Some Empirical Evidence', Journal of Financial Economics, 6, 11-32 (1978)333
Part VITests of the Consumption-Based Capm
12.'Empirical Tests of the Consumption-Oriented CAPM', Journal of Finance, XLIV (2), June, 231-62 (1989)357
13.'Asset Pricing at the Millennium', Journal of Finance, LV (4), August, 1515-67 (2000)389
Part VIITests of the Arbitrage Pricing Theory
14.'An Empirical Investigation of the Arbitrage Pricing Theory', Journal of Finance, XXXV (5), December, 1073-103 (1980)445
15.'Economic Forces and the Stock Market', Journal of Business, 59 (3), 383-403 (1986)476
16.'The Arbitrage Pricing Theory: Is it Testable?', Journal of Finance, XXXVII (5), December, 1129-40 (1982)497
Part VIIITests of an Investment-Based Capm Using the Generalized Method of Moments
17.'A Cross-sectional Test of an Investment-Based Asset Pricing Model', Journal of Political Economy, 104 (3), 572-621 (1996)511
18.'A Critique of the Stochastic Discount Factor Methodology', Journal of Finance, LIV (4), August, 1221-48 (1999)561
Name Index589


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