目录
Acknowledgments
Introducti
Part Ⅰ Classical Tests of Linear Pricing Rules
1 Small Sample Tests of Portfolio Efficiency,Journal of Financial Economics,30;165-191,1991
2 Testing Multi-Beta Asset Pricing Models,Journal of Empirical Finance,6:219-241,1999
3 Small Sample Rank Tests with Applications to Asset Pricing,Journal of Empirical Finance,2:71-93,1995
4 Security Factors sa Linear Combinations of Economic Variables,Journal of Financial Markets,2:403-432,1999
Part Ⅱ Robustness Analysis
5 Asset-Pricing Tests under Alternative Distributions,The Journal of Finance,XL VIII:1927-1942,1993
6 International Asset Pricing with Alternative Distributional Specifications,Journal of Empirical Finance,1:107-131,1993
7 AnalyticalGMM Tests:Asset Pricing with Time-Varying Risk Premiums,The Review of Financial Studies,7:687-709,1994
Part Ⅲ Pricing Kernel Tests
8 A Critique of the Stochastic Discount Factor Methodology,The Journal of Finance.LIV:1221-1248,1999
Part Ⅳ Bayesian Analysis
9 Bayesian Inference in Asset Pricing Tests,Journal of Financial Economics,26:221-254,1990
10 Measuring the Pricing Error of the Arbitrage Pricing Theory,The Review of financial Studies ,9:557-587,1996
11 Temporary Components of Stock Returns:What DO the Data Tell Us?The Review of Financial Studies,9:1033-1059,1996
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