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Vol. 1 | ||
Acknowledgements | vii | |
Foreword | ix | |
Introduction | xi | |
Part I | An 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 II | Pre-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 III | Post-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 Index | 439 | |
Vol. 2 | ||
Acknowledgements | vii | |
An Introduction by the editor to both volumes appears in Volume 1 | ||
Part IV | Post-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 V | Tests 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 VI | Tests 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 VII | Tests 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 VIII | Tests 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 Index | 589 |
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