Cross-Sectional Asset Pricing Tests

Ravi Jagannathan, Ernst Schaumburg and Guofu Zhou

Annual Review of Financial Economics, 2010, vol. 2, issue 1, 49-74

Abstract: A major problem in finance is to understand why different financial assets earn vastly different returns on average. In this paper, we survey various econometric approaches that have been developed to empirically examine various asset pricing models used to explain the difference in cross section of security returns. The approaches range from regressions to the generalized method of moments, and the associated asset pricing models are both conditional and unconditional. In addition, we review some of the major empirical studies.

Keywords: factor models; stochastic discount factor; asset pricing tests (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (18)

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