Cross-Section Versus Time-Series Tests of Asset Pricing Models

11 Pages Posted: 3 Nov 2015

See all articles by Eugene F. Fama

Eugene F. Fama

University of Chicago - Finance

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

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

Eugene F. Fama (Contact Author)

University of Chicago - Finance ( email )

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