Working Paper: NBER ID: w4043
Authors: Bruce N. Lehmann
Abstract: This essay reviews the extensive literature on empirical testing of asset pricing models. It briefly describes the kinds of asset pricing models typically tested in the literature and explicates their econometric implications, both in terms of the estimation of relevant parameters and tests of their implied restrictions. Pertinent aspects of the available data on security prices and macroeconomic variables are discussed as well. The essay concludes with the examination of selected aspects of the current empirical state of asset pricing theory.
Keywords: Asset Pricing; Empirical Testing; Financial Economics
JEL Codes: No JEL codes provided
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| rational expectations (D84) | valuation of securities (G12) |
| absence of arbitrage opportunities (G19) | valuation of securities (G12) |
| investor behavior (G41) | asset pricing (G19) |