NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Linear Approximations and Tests of Conditional Pricing Models

Michael W. Brandt, David A. Chapman

NBER Working Paper No. 12513
Issued in September 2006

---- Acknowledgements -----

We thank an anonymous referee, Keith Brown, Jennifer Conrad, Joost Driessen, Jin-Chuan Duan, Wayne Ferson, Xavier Gabaix, Lorenzo Garlappi, Eric Ghysels, Larry Harris, Kevin Huang, Tim Johnson, Frank de Jong, Mark Kamstra, Raymond Kan, Ed Kane, Jon Lewellen, Andy Lo, Ludovic Phalippou, Jacob Sagi, and seminar participants at Boston College, the 2004 HKUST Finance Symposium, MIT, Tilburg University, the University of Amsterdam, the University of North Carolina, the University of Texas at Austin, the University of Toronto, and the 2005 UBC Summer Finance Conference for helpful comments. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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