search query: @indexterm Capital asset pricing / total: 356
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| Author: | Hodrick, R.J. Zhang, X. |
| Title: | Evaluating the spesification errors of asset pricing models |
| Journal: | Journal of Financial Economics
2001 : NOV, VOL. 62:2, p. 327-376 |
| Index terms: | ASSETS CAPITAL ASSET PRICING |
| Freeterms: | SPECIFICATION ERRORS |
| Language: | eng |
| Abstract: | This paper evaluates the specification errors of several empirical asset pricing models that have been developed as potential improvements on the CAPM. The authors use the methodology of Hansen and Jagannathan (J. Finance 51 (1997) 3), and the test assets are the 25 Fama-French (J. Financial Econom. 52 (1997) 557) equity portfolios sorted on size and book-to-market ratio, and the Treasury bill. |
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