A skeptical appraisal of asset pricing tests

• 成果类型: Article
• 署名作者: Lewellen, Jonathan; Nagel, Stefan; Shanken, Jay
• 署名单位: Dartmouth College; Stanford University; Emory University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2009.09.001
• 发表日期: 2010
• 页码: 175-194
• 关键词: Asset pricing; Cross-sectional tests; POWER

摘要

It has become standard practice in the cross-sectional asset pricing literature to evaluate models based on how well they explain average returns on size-B/M portfolios, something many models seem to do remarkably well. In this paper, we review and critique the empirical methods used in the literature. We argue that asset pricing tests are often highly misleading, in the sense that apparently strong explanatory power (high cross-sectional R(2)s and small pricing errors) can provide quite weak support for a model. We offer a number of suggestions for improving empirical tests and evidence that several proposed models do not work as well as originally advertised. (C) 2009 Elsevier B.V. All rights reserved.