This document has not been cited yet.

1. ” Berkeley, CA: Proceedings of the Third Berkeley Symposium on Mathematical and Statistical Probability, University of California, Berkeley (1956).
   Paper not yet in RePEc: Add citation now
   
2. Adler, M., and B. Dumas. “International portfolio choice and corporate finance: a synthesis.” Journal of Finance, 38 (1983), 925-984.
   Paper not yet in RePEc: Add citation now
   

3. Ahn, S.C., and C. Gadarowski. “Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance.” Journal of Empirical Finance, 11 (2004), 109-132.

4. Bansal, R., and H. Zhou. “Term structure of interest rate with regime shifts.” Journal of Finance, 57 (2002), 1997-2043.

5. Bansal, R.; D.A. Hsieh; and S. Viswanathan. “A new approach to international arbitrage pricing. ” Journal of Finance, 48 (1993), 1719-1747.

6. Black, F. “Capital market equilibrium with restricted borrowing.” Journal of Business, 45 (1972), 444-54.

7. Breeden, D.T. “An intertemporal asset pricing model with stochastic consumption and investment opportunities.” Journal of Financial Economics, 7 (1979), 265-296.

8. Burnside, C., and M. Eichenbaum. “Small-sample properties of GMM-based Wald tests.” Journal of Business & Economic Statistics, 7 (1996), 265-296.

9. Campbell, J.Y., and J.H. Cochrane. “Explaining the poor performance of consumption-based asset pricing models.” Journal of Finance, 55 (2000), 2863-2878.

10. Chapman, D.A. “Approximating the asset pricing kernel.” Journal of Finance, 52 (1997), 13831410.

11. Chen, N.-F.; R. Roll; and S.A. Ross. “Economic forces and the stock market.” Journal of Business, 59 (1986), 383-403.

12. Dittmar, R.F. “Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns.” Journal of Finance, 57 (2002), 369-403.

13. Fama, E.F., and K.R. French. “Multifactor explanations of asset pricing anomalies.” Journal of Finance, 51 (1996), 55-84.

14. Fama, E.F., and K.R. French. “The cross-section of expected stock returns.” Journal of Finance, 47 (1992), 427-466.

15. Hansen, L.P. “Large sample properties of generalized method of moments estimators.” Econometrica, 50 (1982), 1029-1054. Hansen, L.P., and R. Jagannathan. “Assessing specific errors in stochastic discount factor models.

16. Hodrick, R.J., and X.Y. Zhang. “Evaluating the specification errors of asset pricing models.” Journal of Financial Economics, 62 (2001), 327-376.

17. Huang, J.Z., and L. Wu. “Specification analysis of option pricing models based on time-changed levy process.” Journal of Finance, 59 (2004), 1405-1439.

18. Jacobs, K., and K.Q. Wang. “Idiosyncratic consumption risk and the cross section of asset returns.” Journal of Finance, 59 (2004), 2211-2252. Jagannthan, R., and Z. Wang. “The conditional CAPM and the cross-section of expected returns.

19. Jagannthan, R., and Z. Wang. “An asymptotic theory for estimating beta-pricing models using cross-sectional regression.” Journal of Finance, 53 (1998), 1285-1309.

20. Jagannthan, R., and Z. Wang. “Empirical evaluation of asset-pricing models: A comparison of the SDF and beta methods.” Journal of Finance, 57 (2002), 2337-2367.

21. Jobson, J.D., and B. Korkie. “Estimation for Markowitz efficient portfolios.” Journal of the American Statistical Association, 75 (1980), 544-554.
    Paper not yet in RePEc: Add citation now
    
22. Kan, R., and C. Zhang. “GMM tests of stochastic discount factor models with useless factors.” Journal of Financial Economics, 54 (1999), 103-127.
    Paper not yet in RePEc: Add citation now
    
23. Kan, R., and G. Zhou. “Hansen-Jagannathan Distance: Geometry and Exact Distribution.” Working paper, University of Toronto (2004).
    Paper not yet in RePEc: Add citation now
    

24. Ledoit, O., and M. Wolf. “Improved estimation of the covariance matrix of stock returns with an application to portfolio selection.” Journal of Empirical Finance, 10 (2003), 603-621.

25. Lettau, M., and S. Ludvigson. “Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying.” Journal of Political Economy, 109 (2001), 1238-1287.

26. Lintner, J. “The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets.” Review of Economics and Statistics, 47 (1965), 13-37.
    Paper not yet in RePEc: Add citation now
    

27. Parker, J., and C. Julliard. “Consumption risk and the cross section of expected returns.” Journal of Political Economy, 113 (2005), 185-222.

28. Ross, S. “The arbitrage theory of capital asset pricing.” Journal of Economic Theory, 13 (1976), 341-360.

29. Shanken, J. “On the estimation of beta-pricing models.” Review of Finance Studies, 5 (1992), 1-34. Shapiro, A. “The investor recognition hypothesis in a dynamic equilibrium: theory and evidence.

30. Sharpe, W. F. “Capital asset prices: a theory of market equilibrium under conditions of risk.” Journal of Finance, 19 (1964), 425-42. Stein, C. “Inadmissibility of the usual estimator for the mean of a multivariate normal distribution.

31. Vassalou, M. “News related to future GDP growth as a risk factor in equity returns.” Journal of Financial Economics, 68 (2003), 47-73.

32. Vassalou, M., and Y.H. Xing. “Default risk in equity returns.” Journal of Finance, 59 (2004), 831-868.

1. Dynamic linkages between China€™s OFDI, transport, and green economic growth: Empirical evidence from the B&R countries. (2023). Cai, Xiang ; Zhang, Liguo ; Wu, Jun ; Jiang, Cuiting.
   In: Energy & Environment.
   RePEc:sae:engenv:v:34:y:2023:i:7:p:2642-2667.

   Full description at Econpapers || Download paper

2. Investigating the Impacts of Built-Up Land Allocation on Carbon Emissions in 88 Cities of the Yangtze River Economic Belt Based on Panel Regressions. (2023). Zhang, Xiao ; Liu, Jiayu ; Wang, Huan ; Xu, Feng.
   In: Land.
   RePEc:gam:jlands:v:12:y:2023:i:4:p:854-:d:1119380.

   Full description at Econpapers || Download paper

3. Weak (Proxy) Factors Robust Hansen-Jagannathan Distance For Linear Asset Pricing Models. (2023). Kong, Lingwei.
   In: Papers.
   RePEc:arx:papers:2307.14499.

   Full description at Econpapers || Download paper

4. Measuring the nexus between economic development and environmental quality based on environmental Kuznets curve: a comparative study between China and Germany for the period of 2000–2017. (2021). Wu, Haitao ; Gai, Zhiqiang ; Guo, Yunxia ; Hao, YU ; Gao, Shang.
   In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development.
   RePEc:spr:endesu:v:23:y:2021:i:11:d:10.1007_s10668-021-01365-5.

   Full description at Econpapers || Download paper

5. Common pricing across asset classes: Empirical evidence revisited. (2021). Gospodinov, Nikolay ; Robotti, Cesare.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:140:y:2021:i:1:p:292-324.

   Full description at Econpapers || Download paper

6. Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty. (2021). Xie, Tian ; Qiu, Yue ; Wang, Zongrun ; Zhang, Xinyu.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:62:y:2021:i:c:p:179-201.

   Full description at Econpapers || Download paper

7. Are the Blockchain-Based Patents Sustainable for Increasing Firm Value?. (2020). Jang, Kyungmyung ; Kim, Jaeyoung ; Han, Jaemin.
   In: Sustainability.
   RePEc:gam:jsusta:v:12:y:2020:i:5:p:1739-:d:325168.

   Full description at Econpapers || Download paper

8. Evaluating alternative methods of asset pricing based on the overall magnitude of pricing errors. (2019). Shi, QI ; Li, Bin.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:29:y:2019:i:c:p:125-128.

   Full description at Econpapers || Download paper

9. Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation. (2014). Fletcher, Jonathan.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:29:y:2014:i:c:p:30-46.

   Full description at Econpapers || Download paper

10. Chi-squared tests for evaluation and comparison of asset pricing models. (2013). Gospodinov, Nikolay ; Kan, Raymond ; Robotti, Cesare.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:173:y:2013:i:1:p:108-125.

    Full description at Econpapers || Download paper

11. Evaluating Asset Pricing Models in a Simulated Multifactor Approach. (2012). Carrasco-Gutierrez, Carlos ; Piazza, Wagner .
    In: MPRA Paper.
    RePEc:pra:mprapa:66063.

    Full description at Econpapers || Download paper

12. Evaluating Asset Pricing Models in a Simulated Multifactor Approach. (2012). Gaglianone, Wagner ; Carrasco-Gutierrez, Carlos.
    In: Brazilian Review of Finance.
    RePEc:brf:journl:v:10:y:2012:i:4:p:425-460.

    Full description at Econpapers || Download paper

13. Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns. (2010). Guo, Hui ; Savickas, Robert.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:7:p:1637-1649.

    Full description at Econpapers || Download paper

14. Evaluation of linear asset pricing models by implied portfolio performance. (2009). Huang, Dayong ; Balvers, Ronald.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:9:p:1586-1596.

    Full description at Econpapers || Download paper

15. Testing the CAPM revisited. (2009). Ray, Surajit ; Savin, N. E. ; Tiwari, Ashish.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:5:p:721-733.

    Full description at Econpapers || Download paper

16. Improvement in finite sample properties of the Hansen-Jagannathan distance test. (2009). Shimotsu, Katsumi ; Ren, Yu.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:483-506.

    Full description at Econpapers || Download paper

17. Can An ‘Estimation Factor’ Help Explain Cross‐Sectional Returns?. (2009). Lundtofte, Frederik.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:36:y:2009:i:5-6:p:705-724.

    Full description at Econpapers || Download paper

18. Can An Estimation Factor Help Explain Cross-Sectional Returns?. (2009). Lundtofte, Frederik.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:36:y:2009-06:i:5-6:p:705-724.

    Full description at Econpapers || Download paper

19. Testing Conditional Asset Pricing Models: An Emerging Market Perspective. (2008). Iqbal, Javed ; Galagedera, Don ; Brooks, Robert.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2008-3.

    Full description at Econpapers || Download paper

20. Aggregate Consumption-Wealth Ratio and the Cross-Section of Stock Returns: Some International Evidence. (2008). Huang, Kevin ; Paul P. J. Gao, ; Kevin x. d. Huang, .
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2008:v:9:i:1:p:1-37.

    Full description at Econpapers || Download paper

21. Improvement In Finite Sample Properties Of The Hansen-jagannathan Distance Test. (2007). Shimotsu, Katsumi ; Ren, Yu.
    In: Working Paper.
    RePEc:qed:wpaper:1126.

    Full description at Econpapers || Download paper

22. Evaluating conditional asset pricing models for the German stock market. (2006). Schröder, Michael ; Schrimpf, Andreas ; Schroder, Michael ; Stehle, Richard.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:5433.

    Full description at Econpapers || Download paper

23. Specification tests of international asset pricing models. (2006). zhang, xiaoyan.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:25:y:2006:i:2:p:275-307.

    Full description at Econpapers || Download paper

24. Liquidity and Expected Returns: Lessons from Emerging Markets. (2006). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5946.

    Full description at Econpapers || Download paper

25. EVALUATION OF LINEAR ASSET PRICING MODELS BY IMPLIED PORTFOLIO PERFORMANCE. (2005). Huang, Dayong ; Balvers, Ronald.
    In: Working Papers.
    RePEc:wvu:wpaper:05-06old2.

    Full description at Econpapers || Download paper

26. EVALUATION OF LINEAR ASSET PRICING MODELS BY IMPLIED PORTFOLIO PERFORMANCE. (2005). Huang, Dayong ; Balvers, Ronald.
    In: Working Papers.
    RePEc:wvu:wpaper:05-06.

    Full description at Econpapers || Download paper

27. Productivity-Based Asset Pricing: Theory and Evidence. (2005). Huang, Dayong ; Balvers, Ronald.
    In: Working Papers.
    RePEc:wvu:wpaper:05-05.

    Full description at Econpapers || Download paper

28. An examination of alternative CAPM-based models in UK stock returns. (2005). Kihanda, Joseph ; Fletcher, Jonathan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:12:p:2995-3014.

    Full description at Econpapers || Download paper

29. Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence. (2004). Huang, Kevin ; GAO, Paul ; Kevin x. d. Huang, .
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp04-07.

    Full description at Econpapers || Download paper

30. Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations. (). Guidolin, Massimo ; Arismendi Zambrano, Juan ; Lozano, Martin.
    In: Economics Department Working Paper Series.
    RePEc:may:mayecw:n304-20.pdf.

    Full description at Econpapers || Download paper

31. .

    Full description at Econpapers || Download paper

Report date: 2025-09-22 05:32:57 || Missing content? Let us know