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

DOI10.1111/j.1467-9965.1994.tb00053.xzbMath0884.90061OpenAlexW2003867120MaRDI QIDQ4372029

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

law of one priceAPTfactor pricingempirical tests of asset pricing

Mathematics Subject Classification ID

Related Items (1)

A Bayesian approach to diagnosis of asset pricing models

Cites Work

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

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