A robustness test of asset-pricing models using individual security returns

Limkriangkrai, Manapon, Durand, Robert B. and Watson, Iain (2009) A robustness test of asset-pricing models using individual security returns. Applied Economics Letters, 16 6: 629-637. doi:10.1080/17446540802277179

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Author Limkriangkrai, Manapon
Durand, Robert B.
Watson, Iain
Title A robustness test of asset-pricing models using individual security returns
Journal name Applied Economics Letters   Check publisher's open access policy
ISSN 1350-4851
Publication date 2009-03
Sub-type Article (original research)
DOI 10.1080/17446540802277179
Open Access Status
Volume 16
Issue 6
Start page 629
End page 637
Total pages 9
Place of publication United Kingdom
Publisher Routledge
Language eng
Formatted abstract
Tests of asset-pricing models typically form portfolios of stocks (based on criteria such as market capitalization and book-to-market values). The validity of this approach has been debated (see, for example, Berk, 2000). We consider a simple method of testing asset-pricing models using the returns of individual securities and illustrate the approach in a test of the robustness of analyses reported by Durand et al. (2006) and Limkriangkrai et al. (2008).
Keyword Modeling
Pricing policy
Statistical Analyses
Stock market
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Unknown
Additional Notes A robustness test of asset-pricing models using individual security returns Manapon Limkriangkrai, Robert B. Durand & Iain Watson

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
 
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Citation counts: TR Web of Science Citation Count  Cited 1 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 1 times in Scopus Article | Citations
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Created: Thu, 06 Oct 2011, 12:54:36 EST by Karen Morgan on behalf of UQ Business School