Cross-Sectional Asset Pricing Tests

Posted: 12 Nov 2010

See all articles by Ravi Jagannathan

Ravi Jagannathan

Northwestern University - Kellogg School of Management; National Bureau of Economic Research (NBER); Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF); Indian School of Business (ISB), Hyderabad

Ernst Schaumburg

Federal Reserve Banks - Federal Reserve Bank of New York

Guofu Zhou

Washington University in St. Louis - John M. Olin Business School; China Academy of Financial Research (CAFR)

Date Written: December 2010

Abstract

A major problem in finance is to understand why different financial assets earn vastly different returns on average. In this paper, we survey various econometric approaches that have been developed to empirically examine various asset pricing models used to explain the difference in cross section of security returns. The approaches range from regressions to the generalized method of moments, and the associated asset pricing models are both conditional and unconditional. In addition, we review some of the major empirical studies.

Suggested Citation

Jagannathan, Ravi and Schaumburg, Ernst and Zhou, Guofu, Cross-Sectional Asset Pricing Tests (December 2010). Annual Review of Financial Economics, Vol. 2, pp. 49-74, 2010. Available at SSRN: https://ssrn.com/abstract=1707925 or http://dx.doi.org/10.1146/annurev-financial-120209-133954

Ravi Jagannathan (Contact Author)

Northwestern University - Kellogg School of Management ( email )

2001 Sheridan Road
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847-491-8338 (Phone)
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National Bureau of Economic Research (NBER)

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Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) ( email )

Shanghai Jiao Tong University
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Indian School of Business (ISB), Hyderabad ( email )

Hyderabad, Gachibowli 500 019
India

Ernst Schaumburg

Federal Reserve Banks - Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

Guofu Zhou

Washington University in St. Louis - John M. Olin Business School ( email )

Washington University
Campus Box 1133
St. Louis, MO 63130-4899
United States
314-935-6384 (Phone)
314-658-6359 (Fax)

HOME PAGE: http://apps.olin.wustl.edu/faculty/zhou/

China Academy of Financial Research (CAFR)

Shanghai Advanced Institute of Finance
Shanghai P.R.China, 200030
China

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