Empirical cross-sectional asset pricing: a survey
نویسندگان
چکیده
I review the state of empirical asset pricing devoted to understanding crosssectional differences in average rates of return. Both methodologies and empirical evidence are surveyed. Tremendous progress has been made in understanding return patterns. At the same time, there is a need to synthesize the huge amount of collected evidence.
منابع مشابه
Empirical Cross-Sectional Asset Pricing∗
I review recent research efforts in the area of empirical cross-sectional asset pricing. I start by summarizing the evidence on cross-sectional return predictability and the failure of standard (consumption) CAPM models and their conditional versions to explain these predictability patterns. One response in part of the recent literature is to focus on adhoc factor models, which summarize the cr...
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