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Publication year
A Mean-Variance Framework for Tests of Asset Pricing Models.
Resource type
Authors/contributors
- Kandel, Shmuel (Author)
- Stambaugh, Robert F (Author)
Title
A Mean-Variance Framework for Tests of Asset Pricing Models.
Abstract
This article presents a mean-variance framework for likelihood- ratio tests of asset pricing models. A pricing model is tested by examining the position of one or more reference portfolios in sample mean-standard-deviation space. Included are tests of both single-beta and multiple-beta relations, with or without a riskless asset, using either a general or a specific alternative hypothesis. Tests with a factor that is not a portfolio return are also included. The mean-variance framework is illustrated by testing the zero-beta CAPM, a two- beta pricing model, and the consumption-beta model.
Publication
Review of Financial Studies
Volume
2
Issue
2
Pages
125-56
Date
1989
Citation
Kandel, S., & Stambaugh, R. F. (1989). A Mean-Variance Framework for Tests of Asset Pricing Models. Review of Financial Studies, 2, 125–156.
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