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On the Estimation of Beta-Pricing Models
An integrated econometric view of maximum likelihood methods and more traditional two-pass approaches to estimating beta-pricing models is presented. Several aspects of the well-knownExpand
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A Test of the Efficiency of a Given Portfolio
A test for the ex ante efficiency of a given portfolio of assets is analyzed. The relevant statistic has a tractable small sample distribution. Its power function is derived and used to study theExpand
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A Skeptical Appraisal of Asset-Pricing Tests
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-B/M portfolios, something many models seem toExpand
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Lack of timeliness and noise as explanations for the low contemporaneuos return-earnings association
We assess earnings lack of timeliness and value- irrelevant noise in earnings as explanations for the weak contemporaneous return-earnings association. Earnings lack timeliness because objectivity,Expand
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Intertemporal asset pricing: An Empirical Investigation
Abstract The conditional efficiency of an unspecified portfolio of a value-weighted stock index and a long-term government bond index is rejected in a framework that permits the factor risk-premia,Expand
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Multivariate tests of the zero-beta CAPM
Abstract A ‘cross-sectional regression test’ (CSRT) of the CAPM is developed and its connection to the Hotelling T2 test of multivariate statistical analysis is explored. Algebraic relations betweenExpand
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Another Look at the Cross-section of Expected Stock Returns
Our examination of the cross-section of expected returns reveals economically and statistically significant compensation (about 6 to 9 percent per annum) for beta risk when betas are estimated fromExpand
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Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series Analysis
We find reliable evidence that both dividend yield and book-to-market (B/M) track time-series variation in expected real one-year stock returns over the period 1926-91 and the subperiod 1941-91. TheExpand
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Comparing Asset Pricing Models
A Bayesian asset-pricing test is derived that is easily computed in closed-form from the standard F-statistic. Given a set of candidate traded factors, we develop a related test procedure thatExpand
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Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing assetExpand
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