Expected Return, Realized Return, and Asset Pricing Tests

Edwin J. Elton
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Edwin J. Elton: New York University, USA

Chapter 13 in Investments and Portfolio Performance, 2010, pp 257-278 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:An OverviewThe DataPrice DataSurvey and Announcement DataGetting Expected ReturnTests in the Bond AreaA Constant Risk PremiumForward Rates and Risk PremiumsFactor AnalysisChanging Risk PremiumsAsset Pricing Tests in the Common Stock AreaInformation Surprises and Tests of a Particular Asset Pricing ModelNumber of Priced FactorsImplicationsSummaryREFERENCES

Keywords: Investments; Portfolio Management; Bond Pricing; Pension Funds; Estimating Taxes (search for similar items in EconPapers)
Date: 2010
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