Abstract Although the Capital Asset Pricing Model (CAPM) has been one of the most useful
and frequently used theories in determining the required rate of return of a security, the …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

An introduction to the theory and methods of empirical asset pricing, integrating classical
foundations with recent developments. This book offers a comprehensive advanced …

An integrated econometric view of maximum likelihood methods and more traditional two-
pass approaches to estimating beta-pricing models is presented. Several aspects of the well …

Research is an ever-increasing vital feature of academic accounting and finance, but few
researchers are ever offered guidance on the research process. Research Method & …

We examine the relation between stock returns, measures of risk, and several non-risk
security characteristics, including the book-to-market ratio, firm size, the stock price, the …

This paper develops a theory and econometric method of portfolio performance
measurement using a competitive equilibrium version of the Arbitrage Pricing Theory. We …

We use an asymptotic principal components technique to estimate the pervasive factors
influencing asset returns and to test the restrictions imposed by static and intertemporal …

This article provides an exact Bayesian framework for analyzing the arbitrage pricing theory
(APT). Based on the Gibbs sampler, we show how to obtain the exact posterior distributions …

This paper uses maximum-likelihood factor analysis of large cross-sections to examine the
validity of the arbitrage pricing theory (APT). We are unable to explain the expected returns …