内容

目次

Volume 1. Part 1 An overview of asset pricing theory: capital assetprices with and without negative holdings, William F. Sharpe; an aggregationtheorem for securities markets, mark Rubinstein; an intertemporal capitalasset pricing model, Robert C. Merton; the valuation of uncertain incomestreams and the pricing of options, Mark Rubinstein; an intertemporal assetpricing 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 IIPr-1990 tests of the mean-variance capital asset pricing model: a test of thefficiency of a given portfolio, Michael R. Gibbons, Stephen A. Ross and JayShanken; capital markets - theory and evidence, Michael C. Jensen; a critiqueof the asset pricing theory's tests - part 1 on past and potentialtestability of the theory, Richard Roll; an alternative test of the capitalasset pricing model, Pao L. Cheng and Robert R. Grauer; an alternative testof the capital asset pricing model - reply, Pao L. Cheng and Robert R.Grauer; the stationary distribution of returns and portfolio separation incapital markets - a fundamental contradiction, Barr Rosenberg and James A.Ohlsen. Part III Post-1990 tests of the mean-variance capital asset pricingmodel - anomalies and Fama and French's three-factor model: efficient capitalmarkets - II, Eugene F. Fama; the cross-section of expected stock returns,Eugene F. Fama and Kenneth R. French; multifactor explanations of assetpricing anomalies, Eugene F. Fama and Kenneth R. French. Volume 2. Part IVPost-1990 tests of the mean-variance capital asset pricing model - criticismof testing methds together with behavioral and conditional alternatives tothe mean-variance and three-factor models: data-snooping biases in tests offinancial asset pricing models, Andrew W. Lo and A. Craig MacKinlay;multifactor models do not explain deviations from the CAPM, A. CraigMacKinlay; another look at the cross-section of expected stock returns, S.P.Kothari, jay Shanken and Richard G. Sloan; on the cross-sectional relationbetween expected returns and betas, Richard Roll and Stephen A. Ross;portfolio inefficiency and th cross-section of expected returns, ShmuelKandel and Robert F. Stambaugh; on the cross-sectional relation betweenexpected returns, betas and size, Robert R. Grauer; two-pass tests of assetpricing models with useless factors, Raymond Kan and Chu Zhang; contrarianinvestment, extrapolation and risk, Josef Lakonishok, Andrei Shleifer andRobert W. Vishny; the conditional CAPM and the cross-section of expectedreturns, Ravi Jagannathan and Zhenyu Wang; conditioning variables and thecross section of stock returns, Wayne E. Ferson and Campbell R. Harvey. PartV Tests of the linear risk tolerance CAPMS: generalized two parameter assetpricing models - some empirical evidence, Robert R. Grauer. (Part Contents).