@ARTICLE{18852664_1977,
author = {Roll, Richard},
keywords = {asset pricing theory, portfolio theory},
title = {A critique of the asset pricing theory's tests},
journal = {Journal of Financial Economics},
year = {1977},
month = {},
volume = {4},
number = {2},
pages = {129-176},
url = {http://ecsocman.hse.ru/text/18852664/},
publisher = {},
language = {ru},
abstract = {Testing the two-parameter asset pricing theory is difficult (and
currently infeasible). Due to a mathematical equivalence between the
individual return/beta'linearity relation and the market portfolio's
mean-variance efficiency, any valid test presupposes complete
knowledge of the true market portfolio's composition. This implies,
inter alia, that every individual asset must be included in a correct
test. Errors of inference inducible by incomplete tests are discussed
and some ambiguities in published tests are explained. },
annote = {Testing the two-parameter asset pricing theory is difficult (and
currently infeasible). Due to a mathematical equivalence between the
individual return/beta'linearity relation and the market portfolio's
mean-variance efficiency, any valid test presupposes complete
knowledge of the true market portfolio's composition. This implies,
inter alia, that every individual asset must be included in a correct
test. Errors of inference inducible by incomplete tests are discussed
and some ambiguities in published tests are explained. }
}