A robustness test of asset-pricing models using individual security returns

Manapon Limkriangkrai, Robert Durand and Iain Watson

Applied Economics Letters, 2009, vol. 16, issue 6, 629-637

Abstract: Tests of asset-pricing models typically form portfolios of stocks (based on criteria such as market capitalization and book-to-market values). The validity of this approach has been debated (see, for example, Berk, 2000). We consider a simple method of testing asset-pricing models using the returns of individual securities and illustrate the approach in a test of the robustness of analyses reported by Durand et al. (2006) and Limkriangkrai et al. (2008).

Date: 2009
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DOI: 10.1080/17446540802277179

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