Limkriangkrai, Manapon; Durand, Robert; Watson, Iain - In: Applied Economics Letters 16 (2009) 6, pp. 629-637
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, 2000). We consider a simple method of testing asset-pricing models using the...