Asset Pricing Theory and Tests

Asset pricing lies at the heart of financial economics being not only the foundation of every other field in this subject, but also having relevance for practical decision-making. Here the editor has selected influential articles which have been published on this topic since the 1970s.

Asset pricing lies at the heart of financial economics, being not only the foundation of every other field in this subject area, but also having prime relevance for practical decision-making. For this two-volume collection the editor has selected some of the most influential articles which have been published on this topic since the 1970s. These papers offer an overview of the theories of asset pricing, an investigation and critique of the empirical tests applied to these theories and an examination of four particular models: the linear risk tolerance CAPM, the comsumption-based CAPM, the arbitrage pricing model and the stochastic discount factor model. Grauer has written an introduction which gives a balanced discussion of the competing papers and provides a comprehensive review of the subject.

Volume 1. Part 1 An overview of asset pricing theory: capital asset prices with and without negative holdings, William F. Sharpe
an aggregation theorem for securities markets, mark Rubinstein
an intertemporal capital asset pricing model, Robert C. Merton
the valuation of uncertain income streams and the pricing of options, Mark Rubinstein
an intertemporal asset pricing model with stochastic consumption and investment opportunities, Douglas T. Breeden
intertemporal asset pricing without consumption data, John Y. Campbell
return, risk and arbitrage, Stephen A. Ross. Part II Pr-1990 tests of the mean-variance capital asset pricing model: a test of th efficiency of a given portfolio, Michael R. Gibbons, Stephen A. Ross and Jay Shanken
capital markets - theory and evidence, Michael C. Jensen
a critique of the asset pricing theory's tests - part 1 on past and potential testability of the theory, Richard Roll
an alternative test of the capital asset pricing model, Pao L. Cheng and Robert R. Grauer
an alternative test of the capital asset pricing model - reply, Pao L. Cheng and Robert R. Grauer
the stationary distribution of returns and portfolio separation in capital markets - a fundamental contradiction, Barr Rosenberg and James A. Ohlsen. Part III Post-1990 tests of the mean-variance capital asset pricing model - anomalies and Fama and French's three-factor model: efficient capital markets - II, Eugene F. Fama
the cross-section of expected stock returns, Eugene F. Fama and Kenneth R. French
multifactor explanations of asset pricing anomalies, Eugene F. Fama and Kenneth R. French. Volume 2. Part IV Post-1990 tests of the mean-variance capital asset pricing model - criticism of testing methds together with behavioral and conditional alternatives to the mean-variance and three-factor models: data-snooping biases in tests of financial asset pricing models, Andrew W. Lo and A. Craig MacKinlay
multifactor models do not explain deviations from the CAPM, A. Craig MacKinlay
another look at the cross-section of expected stock returns, S.P. Kothari, jay Shanken and Richard G. Sloan
on the cross-sectional relation between expected returns and betas, Richard Roll and Stephen A. Ross
portfolio inefficiency and th cross-section of expected returns, Shmuel Kandel and Robert F. Stambaugh
on the cross-sectional relation between expected returns, betas and size, Robert R. Grauer
two-pass tests of asset pricing models with useless factors, Raymond Kan and Chu Zhang
contrarian investment, extrapolation and risk, Josef Lakonishok, Andrei Shleifer and Robert W. Vishny
the conditional CAPM and the cross-section of expected returns, Ravi Jagannathan and Zhenyu Wang
conditioning variables and the cross section of stock returns, Wayne E. Ferson and Campbell R. Harvey. Part V Tests of the linear risk tolerance CAPMS: generalized two parameter asset pricing models - some empirical evidence, Robert R. Grauer. (Part Contents).