A robustness test of asset pricing models using individual security returns
| dc.contributor.author | Limkriangkrai, M. | |
| dc.contributor.author | Durand, Robert | |
| dc.contributor.author | Watson, I. | |
| dc.date.accessioned | 2017-01-30T10:38:05Z | |
| dc.date.available | 2017-01-30T10:38:05Z | |
| dc.date.created | 2014-11-19T01:13:16Z | |
| dc.date.issued | 2009 | |
| dc.identifier.citation | Limkriangkrai, M. and Durand, R. and Watson, I. 2009. A robustness test of asset pricing models using individual security returns. Applied Economics Letters. 16: pp. 629-637. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/4309 | |
| dc.description.abstract |
Tests of asset-pricing models typically form portfolios of stocks (based oncriteria such as market capitalization and book-to-market values). Thevalidity of this approach has been debated (see, for example, Berk, 2000).We consider a simple method of testing asset-pricing models using thereturns of individual securities and illustrate the approach in a test of therobustness of analyses reported by Durand et al. (2006) and Limkriangkraiet al. (2008). | |
| dc.publisher | Routledge, Taylor and Francis Ltd | |
| dc.relation.uri | http://web.ebscohost.com/ehost/pdfviewer/pdfviewer?sid=1e6634f3-c36f-415e-98ac-aa82261669da%40sessionmgr14&vid=2&hid=10 | |
| dc.title | A robustness test of asset pricing models using individual security returns | |
| dc.type | Journal Article | |
| dcterms.source.volume | 16 | |
| dcterms.source.startPage | 629 | |
| dcterms.source.endPage | 637 | |
| dcterms.source.issn | 13504851 | |
| dcterms.source.title | Applied Economics Letters | |
| curtin.accessStatus | Fulltext not available |