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Asset Pricing Theory and Tests

International Library of Critical Writings in Financial Economics No. 11

Edited by Robert R. Grauer
Foreword by Richard Roll
Format: Hardback
Publisher: Edward Elgar Publishing Ltd, Cheltenham, United Kingdom
Published: 29th Jan 2003
Dimensions: w 244mm h 169mm d 20mm
Weight: 2245g
ISBN-10: 1840644737
ISBN-13: 9781840644739
Barcode No: 9781840644739
Synopsis
Asset pricing lies at the heart of financial economics, being not only the foundation of every other field in this subject area but also having prime relevance for practical decision-making. For this two-volume collection the editor has selected some of the most influential articles which have been published on this topic since the 1970s. These papers offer an overview of the theories of asset pricing, an investigation and critique of the empirical tests applied to these theories and an examination of five particular models: the mean-variance CAPM, the linear risk tolerance CAPM, the intertemporal CAPM, the consumption-based CAPM and the arbitrage pricing theory. Robert Grauer has written a major new introduction which gives a balanced discussion of the competing theories and highlights the invigorating controversy that surrounds both the design of the empirical tests and the interpretation of the results.

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