Asset Pricing Theory and Tests

Volume 1. Part 1 An overview of asset pricing theory: capital asset prices with and without negative holdings, William F. Sharpe an aggregation theorem for securities markets, mark Rubinstein an intertemporal capital asset pricing model, Robert C. Merton the valuation of uncertain income streams and the pricing of options, Mark Rubinstein an intertemporal asset pricing model with stochastic consumption and investment opportunities, Douglas T. Breeden intertemporal asset pricing without consumption data, John Y. Campbell return, risk and arbitrage, Stephen A. Ross. Part II Pr-1990 tests of the mean-variance capital asset pricing model: a test of th efficiency of a given portfolio, Michael R. Gibbons, Stephen A. Ross and Jay Shanken capital markets - theory and evidence, Michael C. Jensen a critique of the asset pricing theory's tests - part 1 on past and potential testability of the theory, Richard Roll an alternative test of the capital asset pricing model, Pao L. Cheng and Robert R. Grauer an alternative test of the capital asset pricing model - reply, Pao L. Cheng and Robert R. Grauer the stationary distribution of returns and portfolio separation in capital markets - a fundamental contradiction, Barr Rosenberg and James A. Ohlsen. Part III Post-1990 tests of the mean-variance capital asset pricing model - anomalies and Fama and French's three-factor model: efficient capital markets - II, Eugene F. Fama the cross-section of expected stock returns, Eugene F. Fama and Kenneth R. French multifactor explanations of asset pricing anomalies, Eugene F. Fama and Kenneth R. French. Volume 2. Part IV Post-1990 tests of the mean-variance capital asset pricing model - criticism of testing methds together with behavioral and conditional alternatives to the mean-variance and three-factor models: data-snooping biases in tests of financial asset pricing models, Andrew W. Lo and A. Craig MacKinlay multifactor models do not explain deviations from the CAPM, A. Craig MacKinlay another look at the cross-section of expected stock returns, S.P. Kothari, jay Shanken and Richard G. Sloan on the cross-sectional relation between expected returns and betas, Richard Roll and Stephen A. Ross portfolio inefficiency and th cross-section of expected returns, Shmuel Kandel and Robert F. Stambaugh on the cross-sectional relation between expected returns, betas and size, Robert R. Grauer two-pass tests of asset pricing models with useless factors, Raymond Kan and Chu Zhang contrarian investment, extrapolation and risk, Josef Lakonishok, Andrei Shleifer and Robert W. Vishny the conditional CAPM and the cross-section of expected returns, Ravi Jagannathan and Zhenyu Wang conditioning variables and the cross section of stock returns, Wayne E. Ferson and Campbell R. Harvey. Part V Tests of the linear risk tolerance CAPMS: generalized two parameter asset pricing models - some empirical evidence, Robert R. Grauer. (Part Contents).

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