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Tekijä: | Snow, K.N. |
Otsikko: | Diagnosing asset pricing models using the distribution of asset returns |
Lehti: | Journal of Finance
1991 : JUL, VOL. 46:3, p. 955-983 |
Asiasana: | CAPITAL ASSET PRICING FINANCIAL MODELS |
Kieli: | eng |
Tiivistelmä: | A set of diagnostic tests is developed which can enlighten why a particular model is failing. It is indicated what steps might be taken to make the model consistent with asset returns. Bounds on the discount factor are estimated using size-based portfolios, and the results are used to analyze the small-firm effect. Empirical results show, for the period 1926-1975, that moments of the returns of small firms contain information about the discount factor that is not contained in the moments of returns of large firms and/or a proxy of the aggregate wealth portfolio. However, this difference disappears when more recent data are included. |
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