A PRICING OPERATOR‐BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS

DOI10.1111/J.1467-9965.1994.TB00053.XMaRDI QIDQ4372029zbMATH OpenOpenAlexFDO

Authors Zhi-Wu Chen, Peter J. Knez

Publication date 21 January 1998

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1994.tb00053.x

zbMATH Keywords

APTempirical tests of asset pricingfactor pricinglaw of one price

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)

Recommendations

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Cites work

• A unified beta pricing theory
• An Intertemporal Capital Asset Pricing Model
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Large Sample Properties of Generalized Method of Moments Estimators
• Martingales and arbitrage in multiperiod securities markets
• Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution

Cited in

(1)

• A Bayesian approach to diagnosis of asset pricing models

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