Cross-Section Versus Time-Series Tests of Asset Pricing Models
11 Pages Posted: 3 Nov 2015
Date Written: November 2, 2015
Abstract
Tests of asset-pricing models commonly use either the cross-section regression approach of Fama and MacBeth (1973) or the time-series regression approach that centers on the GRS test of Gibbons, Ross, and Shanken (1989). The goal here is to discuss how the two approaches differ and their relative advantages.
Suggested Citation: Suggested Citation
Fama, Eugene F., Cross-Section Versus Time-Series Tests of Asset Pricing Models (November 2, 2015). Fama-Miller Working Paper, Available at SSRN: https://ssrn.com/abstract=2685317 or http://dx.doi.org/10.2139/ssrn.2685317
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.