Li, Qing; Vassalou, Maria; Xing, Yuhang - C.E.P.R. Discussion Papers - 2001
In this paper we present a simple model where asset returns are functions of multiple investment growth rates. The model is tested for its ability to price the 25 Fama-French portfolios using the Generalized Methods of Moments (GMM) methodology, as well as Fama-MacBeth cross-sectional...