Skip Navigation

This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Kandel, S.
Right arrow Articles by Stambaugh, R. F.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Rev Fin 1989; 2:125-156
© 1989 the Society for Financial Studies

Article

A mean-variance framework for tests of asset pricing models

S Kandel1 and RF Stambaugh2
1 University of Chicago, Chicago, USA and Tel-Aviv University, Tel-Aviv, Israel
2 Finance Department, The Wharton School, University of Pennsylvania, Philadelphia, PA 19104-6367, USA

Abstract

This article presents a mean-variance framework for likelihood-ratio tests of asset pricing models. A pricing model is tested by examining the position of one or more reference portfolios in sample mean-standard-deviation space. Included are tests of both single-beta and multiple-beta relations, with or without a riskless asset, using either a general or a specific alternative hypothesis. Tests with a factor that is not a portfolio return are also included. The mean-variance framework is illustrated by testing the zero-beta CAPM, a two-beta pricing model, and the consumption-beta model.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.