A Mean-Variance Framework for Tests of Asset Pricing Models

• 成果类型: Article
• 署名作者: Kandel, Shmuel; Stambaugh, Robert F.
• 署名单位: University of Chicago; Tel Aviv University; University of Pennsylvania
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/2.2.125
• 发表日期: 1989
• 页码: 125
• 关键词: MULTIVARIATE TESTS; Market equilibrium; EFFICIENCY; consumption; portfolios; CAPM

摘要

This article presents a mean-variance framework for likelihood-ratio tests of asset pricing models. A pricing model is tested by examining the position of one or more reference portfolios in sample mean-standard-deviation space. Included are tests of both single-beta and multiple-beta relations, with or without a riskless asset, using either a general or a specific alternative hypothesis. Tests with a factor that is not a portfolio return are also included. The mean-variance framework is illustrated by testing the zero-beta CAPM, a two-beta pricing model, and the consumption-beta model.