Empirical Testing of Asset Pricing Models

54 Pages Posted: 21 Jul 2010 Last revised: 21 Jul 2022

See all articles by Bruce N. Lehmann

Bruce N. Lehmann

University of California, San Diego; National Bureau of Economic Research (NBER); Massachusetts Institute of Technology (MIT)

Date Written: April 1992

Abstract

This essay reviews the extensive literature on empirical testing of asset pricing models. It briefly describes the kinds of asset pricing models typically tested in the literature and explicates their econometric implications, both in terms of the estimation of relevant parameters and tests of their implied restrictions. Pertinent aspects of the available data on security prices and macroeconomic variables are discussed as well. The essay concludes with the examination of selected aspects of the current empirical state of asset pricing theory.

Suggested Citation

Lehmann, Bruce, Empirical Testing of Asset Pricing Models (April 1992). NBER Working Paper No. w4043, Available at SSRN: https://ssrn.com/abstract=1646205

Bruce Lehmann (Contact Author)

University of California, San Diego ( email )

9500 Gilman Drive
Mail Code 0502
La Jolla, CA 92093-0502
United States
858-534-0945 (Phone)
858-534-3939 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Massachusetts Institute of Technology (MIT) ( email )

E52-343B
Cambridge, MA 02139
United States
617-253-9459 (Phone)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
46
Abstract Views
570
PlumX Metrics