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

M. Limkriangkrai, Robert Durand, Iain Watson

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)


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.)
Original languageEnglish
Pages (from-to)629-637
JournalApplied Economics Letters
Issue number6
Publication statusPublished - 2009


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