Time-Series and Cross-Sectional Tests of Asset Pricing Models

Kyung-Jin Choi, Dongcheol Kim () and Soon-Ho Kim ()
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Kyung-Jin Choi: Korea University Business School
Dongcheol Kim: Korea University Business School & SolBridge International School of Business at Woosong University
Soon-Ho Kim: Pukyong National University

Chapter 63 in Encyclopedia of Finance, 2022, pp 1467-1483 from Springer

Abstract: Abstract This chapter reviews the methodologies of testing asset pricing models which are dominantly used in the literature: time-series regression tests and cross-sectional regression tests. We provide some explanations for the test procedure of time-series regression tests and cross-sectional regression tests. We discuss individual t-test, the joint F-test by Gibbons, Ross, and Shanken (Econometrica 57:1121–1152, 1989), and tests based on the generalized method of moments estimation. We also explain the two-pass test methodology and discuss the errors-in-variables problem which occurs inevitably in the two-pass methodology.

Keywords: Asset pricing models; Cross-sectional tests; Time-series tests (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-91231-4_63

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DOI: 10.1007/978-3-030-91231-4_63

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