This paper introduces an alternative testing procedure to test the distribution of the error term in the Autoregressive Conditional Duration (ACD) class of models. In these models, the error term is normally interpreted as the standardized duration by which its probability distribution may have...

This paper tests asset pricing models using individual stocks as test assets, rather than sorted portfolios. Sorted portfolios have the severe limitation that the researcher must know, in advance, reliable predictors of expected returns. We show how to generate appropriately sized tests and...