TY  - JOUR
AU  - Lehmann,Bruce N.
TI  - Empirical Testing of Asset Pricing Models
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4043
PY  - 1992
Y2  - April 1992
UR  - http://www.nber.org/papers/w4043
L1  - http://www.nber.org/papers/w4043.pdf
N1  - Author contact info:
Bruce Lehmann
University of California, San Diego
IR/PS
1415 Robinson Building Complex
La Jolla, CA  92093-0519
Tel: 858/534-0945
Fax: 858/534-3939
E-Mail: blehmann@ucsd.edu
AB  - This essay reviews the extensive literature on empirical testing of asset pricing models. It briefly describes the kinds of asset pricing models typically tested in the literature and explicates their econometric implications, both in terms of the estimation of relevant parameters and tests of their implied restrictions. Pertinent aspects of the available data on security prices and macroeconomic variables are discussed as well. The essay concludes with the examination of selected aspects of the current empirical state of asset pricing theory.
ER  -