search query: @indexterm ASSET VALUATION / total: 357
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| Author: | Lewellen, J. Nagel, S. Shanken, J. |
| Title: | A skeptical appraisal of asset pricing tests |
| Journal: | Journal of Financial Economics
2010 : MAY, VOL 96:2, p. 175-194 |
| Index terms: | asset valuation cross-sectional models power |
| Language: | eng |
| Abstract: | The ability of cross-sectional models to explain average returns on size B/M portfolios has become a standard measure of their competence. The purpose of this article is to review prior literature and critically evaluate the empirical methods presented by it. According to the authors, asset pricing tests may be remarkably misleading, because strong explanatory power provides relatively weak support a the model. Evidence of the disfunctionality of several proposed models is presented. The authors also provide a number of suggestions that could help in improving empirical tests. |
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