Asset Pricing Theory and Tests, vol Two volume set

Edited by Robert R. Grauer

in Books from Edward Elgar Publishing

Abstract: Asset pricing lies at the heart of financial economics, being not only the foundation of every other field in this subject area but also having prime relevance for practical decision-making. For this two-volume collection the editor has selected some of the most influential articles which have been published on this topic since the 1970s. These papers offer an overview of the theories of asset pricing, an investigation and critique of the empirical tests applied to these theories and an examination of five particular models: the mean-variance CAPM, the linear risk tolerance CAPM, the intertemporal CAPM, the consumption-based CAPM and the arbitrage pricing theory.

Keywords: Economics and Finance (search for similar items in EconPapers)
JEL-codes: F5 (search for similar items in EconPapers)
Date: 2003
ISBN: 9781840644739
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