Asset Pricing Theory and Tests

by Robert R. Grauer

Overview

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.

Robert Grauer has written a major new introduction which gives a balanced discussion of the competing theories and highlights the invigorating controversy that surrounds both the design of the empirical tests and the interpretation of the results.

Product Details

ISBN-13:	9781840644739
Publisher:	Edward Elgar Publishing
Publication date:	03/29/2003
Series:	The International Library of Critical Writings in Financial Economics series , #11
Pages:	1120
Product dimensions:	6.62(w) x 9.62(h) x (d)

About the Author

Edited by Robert R. Grauer, Endowed University Professor, Faculty of Business Administration, Simon Fraser University, Canada

Table of Contents

Contents:
Volume I:
Acknowledgements
Foreword Richard Roll
Introduction Robert R. Grauer

PART I AN OVERVIEW OF ASSET PRICING THEORY
1. William F. Sharpe (1991), ‘Capital Asset Prices with and without Negative Holdings’
2. Mark Rubinstein (1974), ‘An Aggregation Theorem for Securities Markets’
3. Robert C. Merton (1973), ‘An Intertemporal Capital Asset Pricing Model’
4. Mark Rubinstein (1976), ‘The Valuation of Uncertain Income Streams and the Pricing of Options’
5. Douglas T. Breeden (1979), ‘An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities’
6. John Y. Campbell (1993), ‘Intertemporal Asset Pricing without Consumption Data’
7. Stephen A. Ross (1977), ‘Return, Risk, and Arbitrage’
PART II PRE-1990 TESTS OF THE MEAN-VARIANCE CAPITAL ASSET PRICING MODEL
8. Michael R. Gibbons, Stephen A. Ross and Jay Shanken (1989), ‘A Test of the Efficiency of a Given Portfolio’
9. Michael C. Jensen (1972), ‘Capital Markets: Theory and Evidence’
10. Richard Roll (1977), ‘A Critique of the Asset Pricing Theory’s Tests. Part I: On Past and Potential Testability of the Theory’
11. Pao L. Cheng and Robert R. Grauer (1980), ‘An Alternative Test of the Capital Asset Pricing Model’
12. Pao L. Cheng and Robert R. Grauer (1982), ‘An Alternative Test of the Capital Asset Pricing Model: Reply’
13. Barr Rosenberg and James A. Ohlson (1976), ‘The Stationary Distribution of Returns and Portfolio Separation in Capital Markets: A Fundamental Contradiction’
PART III POST-1990 TESTS OF THE MEAN-VARIANCE CAPITAL ASSET PRICING MODEL: ANOMALIES AND FAMA AND FRENCH’S THREE-FACTOR MODEL
14. Eugene F. Fama (1991), ‘Efficient Capital Markets: II’
15. Eugene F. Fama and Kenneth R. French (1992), ‘The Cross-Section of Expected Stock Returns’
16. Eugene F. Fama and Kenneth R. French (1996), ‘Multifactor Explanations of Asset Pricing Anomalies’
Name Index

Volume II:
Acknowledgements
An Introduction by the editor to both volumes appears in Volume I

PART IV POST-1990 TESTS OF THE MEAN-VARIANCE CAPITAL ASSET PRICING MODEL: CRITICISMS OF TESTING METHODS TOGETHER WITH BEHAVIORAL AND CONDITIONAL ALTERNATIVES TO THE MEAN-VARIANCE AND THREE-FACTOR MODELS
1. Andrew W. Lo and A. Craig MacKinlay (1990), ‘Data-Snooping Biases in Tests of Financial Asset Pricing Models’
2. A. Craig MacKinlay (1995), ‘Multifactor Models Do Not Explain Deviations from the CAPM’
3. S.P. Kothari, Jay Shanken and Richard G. Sloan (1995), ‘Another Look at the Cross-section of Expected Stock Returns’
4. Richard Roll and Stephen A. Ross (1994), ‘On the Cross-sectional Relation between Expected Returns and Betas’
5. Shmuel Kandel and Robert F. Stambaugh (1995), ‘Portfolio Inefficiency and the Cross-section of Expected Returns’
6. Robert R. Grauer (1999), ‘On the Cross-sectional Relation between Expected Returns, Betas, and Size’
7. Raymond Kan and Chu Zhang (1999), ‘Two-Pass Tests of Asset Pricing Models with Useless Factors’
8. Josef Lakonishok, Andrei Shleifer and Robert W. Vishny (1994), ‘Contrarian Investment, Extrapolation, and Risk’
9. Ravi Jagannathan and Zhenyu Wang (1996), ‘The Conditional CAPM and the Cross-section of Expected Returns’
10. Wayne E. Ferson and Campbell R. Harvey (1999), ‘Conditioning Variables and the Cross Section of Stock Returns’
PART V TESTS OF THE LINEAR RISK TOLERANCE CAPMS
11. Robert R. Grauer (1978), ‘Generalized Two Parameter Asset Pricing Models: Some Empirical Evidence’
PART VI TESTS OF THE CONSUMPTION-BASED CAPM
12. Douglas T. Breeden, Michael R. Gibbons and Robert H. Litzenberger (1989), ‘Empirical Tests of the Consumption-Oriented CAPM’
13. John Y. Campbell (2000), ‘Asset Pricing at the Millennium’
PART VII TESTS OF THE ARBITRAGE PRICING THEORY
14. Richard Roll and Stephen A. Ross (1980), ‘An Empirical Investigation of the Arbitrage Pricing Theory’
15. Nai-Fu Chen, Richard Roll and Stephen A. Ross (1986), ‘Economic Forces and the Stock Market’
16. Jay Shanken (1982), ‘The Arbitrage Pricing Theory: Is it Testable?’
PART VIII TESTS OF AN INVESTMENT-BASED CAPM USING THE GENERALIZED METHOD OF MOMENTS
17. John H. Cochrane (1996), ‘A Cross-Sectional Test of an Investment-Based Asset Pricing Model’
18. Raymond Kan and Guofu Zhou (1999), ‘A Critique of the Stochastic Discount Factor Methodology’
Name Index