TY - JOUR
T1 - A robustness test of asset-pricing models using individual security returns
AU - Limkriangkrai, M.
AU - Durand, Robert
AU - Watson, Iain
PY - 2009
Y1 - 2009
N2 - 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, 20001. Berk , J. B. 2000 . Sorting out sorts . Journal of Finance , 55 : 407 – 27 . )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. Durand , R. B. , Limkriangkrai , M. and Smith , G. 2006 . In America's thrall. The effect of the US market and US security characteristics on Australian stock returns . Accounting and Finance , 46 : 577 – 604 .) and Limkriangkrai et al. (2008 Limkriangkrai, M., Durand, R. and Watson, I. (2008) Is liquidity the missing link?, Accounting and Finance.)
AB - 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, 20001. Berk , J. B. 2000 . Sorting out sorts . Journal of Finance , 55 : 407 – 27 . )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. Durand , R. B. , Limkriangkrai , M. and Smith , G. 2006 . In America's thrall. The effect of the US market and US security characteristics on Australian stock returns . Accounting and Finance , 46 : 577 – 604 .) and Limkriangkrai et al. (2008 Limkriangkrai, M., Durand, R. and Watson, I. (2008) Is liquidity the missing link?, Accounting and Finance.)
U2 - 10.1080/17446540802277179
DO - 10.1080/17446540802277179
M3 - Article
SN - 1350-4851
VL - 16
SP - 629
EP - 637
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 6
ER -