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


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

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