TY - JOUR
TI - A critique of the asset pricing theory's tests
T2 - Journal of Financial Economics
IS - 2
KW - asset pricing theory
KW - portfolio theory
AB - 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.
AU - Roll, Richard
UR - http://ecsocman.hse.ru/text/18852664/
PY - 1977
SP - 129-176
M2 - 129
VL - 4
SN -
N1 -
LA - EN
CY -
PB -
M3 -
LB -
VL -
ER -