A NEW APPROACH TO TESTING ASSET PRICING-MODELS - THE BILINEAR PARADIGM

被引：56

作者：

BROWN, SJ ^{[1
]}

WEINSTEIN, MI ^{[1
]}

机构：

[1] UNIV SO CALIF, LOS ANGELES, CA 90089 USA

来源：

关键词：

D O I：

10.2307/2328078

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：711 / 743

页数：33

共 39 条

[1]

BRENNAN P, 1981, UNPUB TEST ARBITRAGE

[2]

CHEN NF, 1982, UNPUB SOME EMPIRICAL

[3]

CHENG PL, 1980, AM ECON REV, V70, P660

[4] CONFLICT AMONG THE CRITERIA REVISITED - THE W, LR AND LM TESTS [J].

EVANS, GBA ;

SAVIN, NE .

[5] RISK, RETURN, AND EQUILIBRIUM - EMPIRICAL TESTS [J].

FAMA, EF ;

MACBETH, JD .

[6]

FAMA EF, 1976, F FINANCE

[7]

GEHR A, 1973, J MID W FINANCE ASS, P91

[8] MULTIVARIATE TESTS OF FINANCIAL MODELS - A NEW APPROACH [J].

GIBBONS, MR .

[9]

GIBBONS MR, 1981, UNPUB EMPIRICAL EVAL

[10]

GOLDBERGER AS, 1974, FRONTIERS ECONOMETRI, P193