Source: http://www.jgriffin.info/fin3954/
Timestamp: 2019-04-23 22:59:40+00:00

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This course represents an advanced study of asset pricing in financial economics. We focus on the empirical techniques used most often in the analysis of financial markets and how they are applied to actual market data. The list of topics includes: (a) empirical tests of Asset Pricing Models b) statistical properties of asset returns, (b) unconditional tests of asset pricing models (CAPM, APT), (c) conditional tests of asset pricing models (d) efficient markets hypothesis and anomalies, (d) behavioral finance, (e) mutual fund and fund flows, (f) international finance, and (g) miscellaneous topics. The relative emphasis that each topic receives within category (d-g) will likely depend on the interests of the students.
We will meet each Wednesday and some Monday’s 2-5 pm. Each week, I will assign relevant readings. These readings will consist of statistical background readings at times and specific papers in empirical financial economics. You are expected to read the material before the class. The class will not follow a lecture format; rather, I will act as the discussion leader and background resource, especially as it comes to techniques or methodology. I will attempt to devise a list of discussion questions each week to facilitate the presentation of each topic. In addition, I will assign an empirical exercise applying a concept or technique from class that requires the use of a statistical package on a common dataset. I would encourage you to form study groups to discuss the papers, data assignments and project.
The textbooks for the course are The Econometrics of Financial Markets by John Campbell, Andrew Lo and Craig MacKinlay (Princeton University Press, 1997). Chapters of Asset Pricing by John H. Cochrane are also recommended and Ch. 1-9 is assumed as background material. I will also assign required readings which are listed in the outline below. I will strive to make available as many of the supplemental (non-required) readings as possible.
The demands of this course are likely to be computation-intensive so that some rudimentary programming and data analysis skills are necessary.
I will not tolerate cheating or dishonorable conduct of any kind (plagiarism (see links to “Scope of Academic Dishonesty” and “The Standard of Academic Integrity”, copying, lying, etc.). I will punish any violations in accordance with University policy.
Cochrane, J. H., 2001. Asset Pricing, Princeton University Press.
Anderson, T., 1984, An Introduction to Multivariate Analysis. New York: John Wiley and Sons.
Bodie, Z., A. Kane and A. Marcus, 1997, Investments, Fourth Edition. New York: Richard D. Irwin.
Cox, J. and M. Rubinstein, 1985, Options Markets. New York: Prentice Hall.
Hamilton, J. D., 1994, Time Series Analysis, Princeton University Press.
Tsay, R. S., 2005, Analysis of Financial Time Series, Wiley-Interscience.
Judge G., W. Griffiths, C. Hill, H. Lutkepohl, T. Lee, 1985, The Theory and Practice of Econometrics, Second Edition. New York: John Wiley and Sons.
O’Hara, M., Market Microstructure Theory, 1994, Basil Blackwell, Oxford, UK.
Silvey, S. D., 1975, Statistical Inference. New York: Chapman and Hall.
Jarrow, R., V. Maksimovic, W. Ziemba, 1995, Finance (Volume 9, Handbooks in Operations Research and Management Science), Elsevier Science, Amsterdam.
Parts of this course are similar to in nature to that from Andrew Karolyi. He designed the coures by seeking input from professors teaching in the top doctoral programs in the U.S. (Professors Tim Bollerslev, Peter Bossaerts, John Campbell, K.C. Chan, Wayne Ferson, Ravi Jagannathan, Bob Korajczyk, Andrew Lo and Jay Shanken). He surveyed a group of faculty that comprise the best empirical researchers in Finance as to the content and format of the Ph.D-level courses in empirical methods they teach. Their incentive to comply with the survey lay in a promise to pool and then disseminate the information to them.
The topics covered in the course are divided into 14 sections, as outlined below. We will cover topic I to X comprehensively in class. I will encourage the students to choose a topic from (IX to XV) for their presentations which will take place during the final week of the quarter.
Asset Pricing Theory (Ch. 1-10 from Cochrane’s on-line text).
(c) Other International Finance Issues– Linkages, Correlations, etc.
The references below are classified into three categories: (r) denotes a required reading that will be discussed in class, (s), a supplemental reading, and (m) represents a background methodological article that students may attempt to read.
(s) Chapter 1-9 in Cochrane’s text.
(s) Merton, R. C., 1973, “An intertemporal capital asset pricing model,” Econometrica 41, 867-887.
(s) Ross, S. A., 1976, “The arbitrage theory of capital asset pricing,” Journal of Economic Theory 13, 341-360.
(s) Campbell, John Y., 2000, “Asset Pricing at the New Millennium,” Journal of Finance 55, 1515-1568.
(s) Popper, K. R., 1957, “Science: Conjectures and Refutations” in Conjectures and refutations: The growth of scientific knowledge (Routledge).
(s) Silvey, S. D., 1975, Statistical Inference, Chapter 1. London: Chapman and Hall.
(r) Leamer, E., 1983, “Let’s Take the Con Out of Econometrics,” American Economic Review 73, 31-43.
(s) McAleer, Michael, Adrian R. Pagan, and Paul A. Volker, 1985, “What Will Take the Con Out of Econometrics?”, The American Economic Review 75, 293-307.
(s) McCloskey, 1985, “The Loss Function has been Mislaid: The Rhetoric of Significance Tests,” American Economic Review 75, 201-205.
(s) Duhem, Pierre, 1987, “Physical Theory and Experiment,” In: Kourany, J.(ed.), “Scientific Knowledge,” 158-169.
(s) Popper, Karl, 1987, “Science: Conjectures and Refutations,” In: Kourany, J.(ed.), “Scientific Knowledge,” 139-155.
(s) Cox, D., 1990, “Role of Models in Statistical Analysis,” Statistical Science 5, 169-74.
(s) De Long, J. Bradford and Kevin Lang, 1992, “Are All Economic Hypotheses False?” Journal of Political Economy 100, 1257-1272.
(s) Friedman, M., 1994, “The Methodology of Positive Economics”, The Philosophy of Economics: An Anthology 2, 180–213.
(s) Card, David and Alan B. Krueger, 1995, “Time-series minimum-wage studies: A meta-analysis,” American Economic Review 85, 238-244.
(s) McCloskey, Deirdre N. and Stephen T. Ziliak, 1996, “The standard error of regressions,” Journal of Economic Literature 34, 97-115.
(s) Sokal, Alan D., 1996, “A Physicist Experiments with Cultural Studies”, New York University.
(r) Ziliak, Stephen T., and Deirdre N. McCloskey, 2004, “Size Matters: The Standard Error of Regressions in the American Economic Review”, Journal of Socio-Economics 33, 527-546.
(s) Hoover, K. D., and M. V. Siegler, 2008, “Sound and fury: McCloskey and Significance Testing in Economics”, Journal of Economic Methodology 15, 1-37.
(s) Bachelier, L., 1900, “Theorie de la Speculation,” Annales de l’Ecole Normale Superieure 3, Gauthier-Villars, Paris.
(s) Cootner, P., ed., 1964, The Random Character of Stock Market Prices, Cambridge, MA: MIT Press.
(s) Fama, E., 1965, “The Behavior of Stock Prices,” Journal of Business 38, 34-105.
(s) Blattberg, R. and N. Gonedes, 1974, “A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices,” Journal of Business 47, 244-280.
(r) Fama, E., 1976, Foundations of Finance. New York: Basic Books. Chapters 1 and 2.
(s) Kon, S., 1984, “Models of Stock Returns: A Comparison,” Journal of Finance 39, 148-165.
(s) Harris, L., 1986, “A Transactions Data Study of Weekly and Intradaily Patterns in Stock Returns,” Journal of Financial Economics 16, 99-117.
(m) Dickey, D. and W. Fuller, 1981, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root” Econometrica 49, 1057-1072.
(s) Conrad, J. and G. Kaul, 1988, “Time Variation in Expected Returns,” Journal of Business, 409-426.
(s) Fama, E. and K. French, 1988, “Permanent and Temporary Components of Stock Prices,” Journal of Political Economy 96, 246-273.
(s) Lo, A. and C. MacKinlay, 1988, “Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test,” Review of Financial Studies 1, 41-66.
(s) Poterba, J. and L. Summers, 1988, “Mean Reversion in Stock Returns: Evidence and Implications,” Journal of Financial Economics 22, 27-60.
(m) Lo, A. and C. MacKinlay, 1989, “The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation,” Journal of Econometrics 40, 203-238.
(m) Schwert, G., 1989, “Tests for Unit Roots: A Monte Carlo Investigation,” Journal of Business and Economics Statistics 7, 147-160.
(s) Jegadeesh, Narasimhan, 1990, “Evidence of Predictable Behavior of Security Returns,” Journal of Finance 45, 881-898.
(s) Richardson, M. and J. Stock, 1990, “Drawing Inferences From Statistics Based on Multiyear Asset Returns,” Journal of Financial Economics 25, 323-348.
(s) Kim, M., C. Nelson, and R. Startz, 1991, “Mean Reversion in Stock Prices: Evidence and Implications,” Review of Economic Studies 58, 515-528.
(s) Lo, A., 1991, “Long-Term Memory in Stock Market Prices,” Econometrica 59, 1279-1313.
(r) Campbell, J., A. Lo and C. MacKinlay, 1993, “Chapter 2: Predictability of Asset Returns” in The Econometrics of Financial Markets.
(r) Mech, Timothy S., 1993, “Portfolio return autocorrelation,” Journal of Financial Economics 34, 307-338.
(s) Boudoukh, J., M. Richardson and R. Whitelaw, 1994, “A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns,” Review of Financial Studies 7, 539-573.
(m) Hamilton, J., 1994, Time Series Analysis, Chapter 1-2.
(m) Hamilton, J., 1994, Time Series Analysis, Chapter 17.
(s) Jegadeesh, Narasimhan and Sheridan Titman, 1995, “Overreaction, Delayed Reaction, and Contrarian Profits,” The Review of Financial Studies 8, 973-993.
(s) Kandel, S. and R. Stambaugh, 1996, “On the Predictability of Stock Returns: An Asset Allocation Perspective,” Journal of Finance 51, 385-424.
(s) Chordia, Tarun and Bhaskaran Swaminathan, 2000, “Trading Volume and Cross-Autocorrelations in Stock Returns,” Journal of Finance 55, 913-935.
(r) Griffin, John M., Patrick J. Kelly, and Federico Nardari, 2008, “Measurement and Determinants of International Stock Market Efficiency,” Working Paper, University of Texas at Austin.
(s) Fama, E. and W. Schwert, 1977, “Asset Returns and Inflation,” Journal of Financial Economics 5, 115-146.
(s) Fama, E. and M. Gibbons, 1982, “Inflation, Real Returns and Capital Investment,” Journal of Monetary Economics 9, 297-323.
(s) Fama, E. and K. French, 1988, “Dividend Yields and Expected Stock Returns,” Journal of Financial Economics 22, 3-26.
(r) Fama, E. and K. French, 1989, “Business Conditions and Expected Returns on Stocks and Bonds,” Journal of Financial Economics 25, 23-50.
(s) Keim, D. and R. Stambaugh, 1989, “Predicting Returns in the Stock and Bond Markets,” Journal of Financial Economics 17, 357-390.
(r) Bossaerts, P., and P. Hillion, 1999, “Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?” Review of Financial Studies 12, 405-428.
(s) Cremers, Martijn, 2002, “Stock Return Predictability: A Bayesian Model Selection Perspective,” Review of Financial Studies, Vol. 15, No. 4, 1223-1249.
(s) Goyal, Amit and Ivo Welch, 2003, “Predicting the Equity Premium with Dividend Ratios,” Management Science 49, 639-654.
(s) Lewellen, J., 2004, “Predicting returns with financial ratios”, Journal of Financial Economics 74, 209-235.
(s) Campbell, J. Y., and M. Yogo, 2006, “Efficient tests of stock return predictability”, Journal of Financial Economics 81, 27-60.
(s) Henkel, Sam, Martin J. Spencer, and Federico Nardari, 2006, “TimeVarying Short-Horizon Predictability,” Unpublished Working Paper, Indiana University.
(s) Ang, A., and G. Bekaert, 2007, “Stock return predictability: Is it there?”, Review of Financial Studies 20, 651.
(r) Boudoukh, Jacob, Matthew Richardson, and Robert F. Whitelaw, 2008, “The Myth of Long-Horizon Predictability”, Review Financial Studies 21, 1577-1605.
(s) Campbell, J. Y., and S. B. Thompson, 2008, Predicting the equity premium out of sample: Can anything beat the historical average?, Review of Financial Studies 21, 1509-1531.
(s) Cochrane, John H., 2008, “The Dog that Did not Bark: A Defense of Return Predictability”, Review of Financial Studies 21, 1533-1575.
(r) Welch, Ivo, and Amit Goyal, 2008, “A Comprehensive Look at the Empirical Performance of Equity Premium Prediction”, Review Financial Studies 21, 1455-1508.
(r) Santa-Clara, Pedro, 2008, “Forecasting Stock Market Returns: The Sum of the Parts is More Than the Whole”, Working Paper, UCLA.
(s) Christie, A., 1982, “The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects,” Journal of Financial Economics 10, 407-432.
(m) Engle, R., 1982, “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation,” Econometrica 50, 987-1008.
(s) Bollerslev, T., 1986, “A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return,” Review of Economics and Statistics 69, 542-547.
(s) French, K. and R. Roll, 1986, “Stock Return Variances: The Arrival of Information and the Reaction of Traders,” Journal of Financial Economics 17, 5-26.
(m) Bollerslev, T., 1986, “Generalized Autoregressive Conditional Heteroscedasticity,” Journal of Econometrics 31, 307-327.
(s) Akgiray, V., 1989, “Conditional Heteroscedasticity in Time Series of Stock Returns,” Journal of Business 62, 55-80.
(m) Bollerslev, T., Chou, R. and K.Kroner, 1990, “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence,” Journal of Econometrics 52, 5-59.
(s) Pagan, A. and G. Schwert, 1990, “Alternative Models for Conditional Stock Volatility,” Journal of Econometrics 45, 267-290.
(s) Schwert, G., 1990, “Why Does Stock Market Volatility Change Over Time,” Journal of Finance 44, 1115-1153.
(s) Campbell, J., A. Lo and C. MacKinlay, 1993, “Chapter 12: Nonlinearities in Financial Data” in The Econometrics of Financial Markets. Sections 12.1 and 12.2 only.
(m) Hamilton, J., 1994, Time Series Analysis, Chapter 21.
(s) Pagan, A., 1996, “The Econometrics of Financial Markets” Journal of Empirical Finance 3, 15-102.
(s) Merton, R., 1980, “On Estimating the Expected Return on the Market,” Journal of Financial Economics 8, 323-362.
(s) French, K., Schwert, W. and R. Stambaugh, 1987, “Expected Stock Returns and Volatility,” Journal of Financial Economics 19, 3-30.
(m) Chou, R., 1988, “Volatility Persistence and Stock Valuations,” Journal of Applied Econometrics 3, 279-294.
(m) Pagan, A. and A. Ullah, 1988, “The Econometric Analysis of Models with Risk Terms,” Journal of Applied Econometrics 3, 87-105.
(s) Hamao Y., R. Masulis and V. Ng, 1990, “Correlations in Price Changes and Volatility Across International Stock Markets,” Review of Financial Studies 3, 281-307.
(s) Nelson, D., 1991, “Conditional Heteroscedasticty in Asset Returns:A New Approach,” Econometrica 59, 347-370.
(s) Westerfield, R., 1977, “The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models,” Journal of Financial and Quantitative Analysis 12, 743-765.
(s) Tauchen, G. and M. Pitts, 1983, “The Price Variability-Volume Relationship on Speculative Markets,” Econometrica 51, 485-505.
(s) Harris, L., 1987, “Transactions Data Tests of the Mixture of Distributions Hypothesis,” Journal of Financial and Quantitative Analysis 22, 127-141.
(s) Karpoff, J., 1987, “The Relation between Price Changes and Trading Volume: A Survey,” Journal of Financial and Quantitative Analysis 22, 109-126.
(s) Lamoureux, C. and W. Lastrapes, 1990, “Heteroscedasticity in Stock Return Data: Volume vs. GARCH Effects,” Journal of Finance 46, 221-229.
(s) Gallant, R., Rossi, P. and G. Tauchen, 1992, “Stock Prices and Volume,” Review of Financial Studies 5, 199-242.
(s) Campbell, J., Grossman, S. and J. Wang, 1993, “Trading Volume and Serial Correlation,” Quarterly Journal of Economics 108, 905-939.
(s) Jones, C., G. Kaul and M. Lipson, 1994 “Transactions, Volume and Volatility,” Review of Financial Studies 7, 631-651.
(s) Andersen, T., 1996, “Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility,” Journal of Finance 51, 169-203.
(s) Chan, Kalok, and Fong, Wai-Ming, 2000, “Trade size, order imbalance, and the volatility-volume relation,” Journal of Financial Economics 57, 247-273.
(s) Chordia, Tarun, Richard Roll, and Avanidhar Subrahmanyam, 2001, “Market Liquidity and Trading Activity,” Journal of Finance 56, 501-530.
(s) Gervais, Simon, Ron Kaniel and Dan H. Mingelgrin, 2001, “The High-Volume Return Premium” The Journal of Finance 56, 877-919.
(s) Griffin, John, Federico Nardari and Rene M. Stulz, 2004, “Daily cross-border equity flows: pushed or pulled?” Review of Economics and Statistics 86, 641-658.
(s) Chordia, Tarun, Sahn-Wook Huh, and Avanidhar Subrahmanyam, 2007, “The Cross-Section of Expected Trading Activity”, Review of Financial Studies 20, 709-740.
(r) Campbell, J., A. Lo and C. MacKinlay, 1993, “Chapter 5: The Capital Asset Pricing Model” in The Econometrics of Financial Markets.
(s) Petersen, Mitchell A., 2009, “Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches”, Review of Financial Studies 22, 435-480.
(r) Black, F., Jensen, M. and M. Scholes, 1972, “The Capital Asset Pricing Model: Some Empirical Tests,” in M. Jensen ed., Studies in the Theory of Capital Markets. New York: Praeger.
(r) Fama, E. and J. MacBeth, 1973, “Risk, Return, and Equilibrium: Empirical Tests,” Journal of Political Economy 91, 607-636.
(s) Fama, E., 1976, Foundations of Finance. New York: Basic Books. Chapter 9.
(s) Roll, R., 1977, “A Critique of the Asset Pricing Theory’s Tests Part 1: On Past and Potential Testability of the Theory,” Journal of Financial Economics 4, 129-176.
(m) Buse, A., 1982, “The Likelihood Ratio, Wald and Lagrange Multiplier Tests: An Expository Note,” American Statistician 36, 153-157.
(s) Gibbons, M., 1982, “Multivariate Tests of Financial Models: A New Approach,” Journal of Financial Economics 10, 3-27.
(m) Anderson, T., 1984, An Introduction to Multivariate Statistical Analysis, New York: John Wiley and Sons, Chapter 5.
(s) Kandel, S., 1985, “The Likelihood Ratio Test Statistic of Mean-Variance Efficiency of a Given Portfolio,” Journal of Financial Economics 13, 575-592.
(s) Shanken, J., 1985, “Multivariate Tests of the Zero-Beta CAPM,” Journal of Financial Economics 14, 327-348.
(s) MacKinlay, C., 1987, “On Multivariate Tests of the CAPM,” Journal of Financial Economics 18, 341-371.
(s) Huberman, G. and S. Kandel, 1988, “Mean-Variance Spanning,” Journal of Finance 43, 873-888.
(s) Gibbons, M., Ross, S. and J. Shanken, 1989, “A Test of the Efficiency of a Given Portfolio,” Econometrica 57, 1121-1152.
(s) Lo, A. and C. MacKinlay, 1990, “Data Snooping Biases in Tests of Financial Asset Pricing Models,” Review of Financial Studies 3, 431-468.
(r) Fama, E. and K. French, 1992, “The Cross-Section of Expected Stock Returns,” Journal of Finance 47, 427-465.
(s) Kan, Raymond and Chu Zhang, 1999, “Two-Pass Tests of Asset Pricing Models with Useless Factors,” Journal of Finance 54, 203-235.
(s) Kothari, S., J. Shanken and R. Sloan, 1995 “Another Look at the Cross-section of Expected Stock Returns,” Journal of Finance 50, 185-224.
(s) Hansen, L., 1982, “Large Sample Properties of Generalized Method of Moments Estimators,” Econometrica 50, 1029-1054.
(s) Gibbons, M. and W. Ferson, 1985, “Testing Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio,” Journal of Financial Economics 14, 217-236.
(s) Ferson, W., S. Kandel and R. Stambaugh, 1987, “Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas,” Journal of Finance 42, 201-220.
(s) Bollerslev, T., R. Engle and J. Wooldridge, 1988, “A Capital Asset Pricing Model with Time Varying Covariances,” Journal of Political Economy 96, 116-131.
(s) Harvey, C., 1989, “Time Varying Conditional Covariances in Tests of Asset Pricing Models,” Journal of Financial Economics 24, 289-317.
(s) Harvey, C., 1991, “The World Price of Covariance Risk,” Journal of Finance 46,111-157.
(s) Chan, K.C., G.A. Karolyi and R. Stulz, 1992, “Global Financial Markets and the Risk Premium on U.S. Equity,” Journal of Financial Economics 32, 137-168.
(s) Campbell, J., A. Lo and C. MacKinlay, 1993, “Appendix A.2 and A.4: Generalized Method of Moments and Maximum Likelihood” in The Econometrics of Financial Markets. ) Campbell, J., A. Lo and C. MacKinlay, 1993, “Appendix A.2 and A.4: Generalized Method of Moments and Maximum Likelihood” in The Econometrics of Financial Markets.
(m) Duffie, D. and K. Singleton, 1993, “Simulated Moments Estimation of Markov Models of Asset Prices,” Econometrica 61, 929-952.
(s) Ferson, W., S. Foerster, and D. Keim, 1993, “General Tests of Latent Variable Models and Mean-Variance Spanning,” Journal of Finance 48, 131-155.
(s) Ogaki, Masao, 1993, Generalized Method of Moments: Econometric Applications, Handbook of Statistics, Vol 11.
(m) Hamilton, J., 1994, Time Series Analysis, Chapter 14.
(s) Jagannathan, R. and Z. Wang, 1996, “The Conditional CAPM and the Cross-Section of Expected Returns,” Journal of Finance 51, 3-54.
(s) Cochrane, 2001, GMM sections (Ch. 10, Ch. 11 Optional).
(s) Fama, E. F., and K. R. French, 2004, “”The Capital Asset Pricing Model: Theory and Evidence”, Journal of Economic Perspectives 18, 25-46.
(s) Jagannathan, R., and Y. Wang, 2007, “Lazy Investors, Discretionary Consumption, and the Cross-Section of Stock Returns”, Journal of Finance 62, 1623-1661.
(r) Campbell, J., A. Lo and C. MacKinlay, 1993, “Chapter 6: Multifactor Pricing Models” in The Econometrics of Financial Markets.
(s) Ferson, W., 1994, “Theory and Empirical Testing of Asset Pricing Models,” in The Finance Handbook, Jarrow, R., W. Ziemba and V. Maksimovic, (eds), North-Holland Publishers.
(s) Roll, R. and S. Ross, 1980, “An Empirical Investigation of the Arbitrage Pricing Theory,” Journal of Finance 35, 1073-1103.
(s) Shanken, J., 1982, “The Arbitrage Pricing Theory: Is It Testable?” Journal of Finance 37, 1129-1140.
(s) Chen, N., 1983, “Some Empirical Tests of Arbitrage Pricing,” Journal of Finance 38, 1393-1414.
(s) Dhrymes, P., Friend, I., Gultekin, B. and M. Gultekin, 1984, “A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory,” Journal of Finance 39, 323-346.
(m) Anderson, T., 1984, An Introduction to Multivariate Statistical Analysis, New York: John Wiley and Sons, Chapter 11 and 14.
(s) Roll, R. and S. Ross, 1984, “A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply,” Journal of Finance 39, 347-350.
(s) Chan, K.C., N. Chen and D. Hsieh, 1985, “An Exploratory Investigation of the Firm Size Effect,” Journal of Financial Economics 14, 451-471.
(s) Dybvig, P. and S. Ross, 1985, “Yes, the APT is Testable,” Journal of Finance 40, 1173-1188.
(s) Shanken, J., 1985, “Multi-Beta CAPM or Equilibrium APT?: A Reply,” Journal of Finance 40, 1189-1196.
(r) Chen, N., Roll, R. and S. Ross, 1986, “Economic Forces and the Stock Market: Testing the APT and Alternative Asset Pricing Theories,” Journal of Business 59, 383-403.
(s) Trzcinka, C., 1986, “On the Number of Factors in the Arbitrage Pricing Model,” Journal of Finance 41, 347-368.
(s) Huberman, G., S. Kandel and R. Stambaugh, 1987, “Mimicking Portfolios and Exact Arbitrage Pricing,” Journal of Finance 42, 1-10.
(s) Connor, G. and R. Korajczyk, 1988, “Risk and Return in an Equilibrium APT: Application of a New Test Methodology,” Journal of Financial Economics 21, 255-289.
(s) Lehmann, B. and D. Modest, 1988, “The Empirical Foundations of the Arbitrage Pricing Theory,” Journal of Financial Economics 21, 213-254.
(s) Shukla, R. and C. Trzcinka, 1990, “Sequential Tests of the Arbitrage Pricing Theory: A Comparison of Principal Components and Maximum Likelihood Factors,” Journal of Finance 45, 1541-1564.
(r) Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
(s) Ferson, W. and C. Harvey, 1991, “The Variation of Economic Risk Premiums,” Journal of Political Economy 99, 385-415.
(s) Bansal, R. and S. Viswanathan, 1993, “No Arbitrage and Arbitrage Pricing: A New Approach,” Journal of Finance 48, 1231-1261.
(s) Bansal, R., D. Hsieh, and S. Viswanathan, 1993, “A New Approach to International Arbitrage Pricing,” Journal of Finance 48, 1719-1747..
(s) Connor, G. and R. Korajczyk, 1995, “The Arbitrage Pricing Theory and Multifactor Models of Asset Returns,” Finance, Handbooks in Operations Research and Management Science Volume 9, Ch. 4.
(s) Chan, L., J. Karceski and J. Lakonshok, 1998, “The Risk and Return from Factors” Journal of Financial and Quantitative Analysis 33, 159-187.
(s) Ghysels, E., 1998, “On Stable Factor Structures in the Pricing of Risk: Do Time-Varying Betas Help or Hurt?” Journal of Finance 53, 549-573.
(s) Jagannathan, R. and Z. Wang, 1998, “An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-sectional Regression,” Journal of Finance 53, 1285-1309.
(s) Ferson, Wayne E. and Campbell R. Harvey, 1999, “Conditioning Variables and the Cross Section of Stock Returns,” Journal of Finance 54, 1325-1360.
(s) Wang, Kevin Q., 2003, “Asset Pricing with Conditioning Information: A New Test,” Journal of Finance 58, 161-196.
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(s) Fama, E., 1970, “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance 25, 383-417.
(s) Fama, E., 1976, Foundations of Finance. New York: Basic Books. Chapter 5.
(s) Grossman, S. and J. Stiglitz, 1980, “On the Impossibility of Informationally Efficient Markets,” American Economic Review 70, 393-408.
(s) Grossman, S., 1989, The Informational Role of Prices. Cambridge: MIT. Press.
(s) Fama, E., 1991, “Efficient Capital Markets: II,” Journal of Finance 46, 1575-1617.
(s) LeRoy, S. and R. Porter, 1981, “The Present Value Relation: Tests Based on Variance Bounds,” Econometrica 49, 555-574.
(s) Shiller, R., 1981, “Do Stock Prices Move Too Much To Be Justified By Subsequent Changes in Dividends?” American Economic Review 71, 421-436.
(s) Flavin, M., 1983, “Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence,” Journal of Political Economy 91, 929-956.
(s) Kleidon, A., 1986, “Variance Bounds Tests and Stock Price Valuation Models,” Journal of Political Economy 94, 953-1001.
(s) Marsh, T. and R. Merton, 1986, “Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices,” American Economic Review 76, 483-498.
(s) Campbell, J. and R. Shiller, 1987, “Co-integration and Tests of Present Value Models,” Journal of Political Economy 95, 1062-1088.
(m) Engle, R. and C. Granger, 1987, “Co-Integration & Error Correction: Representation, Estimation and Testing,” Econometrica 55, 251-276.
(m) Johansen, S., 1988, “Statistical Analysis of Cointegrating Vectors,” Journal of Economics, Dynamics and Control 12, 231-254.
(s) West, K., 1988, “Dividend Innovations and Stock Price Volatility,” Econometrica 56, 37-61.
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(s)Garber, Peter M., 1989, “Tulipmania,” Journal of Political Economy, 97, 535-560.
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(s) DeLong, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert Waldmann, 1990b, “Positive Feedback Investment Strategies and Destabilizing Rational Speculation,” Journal of Finance, 45, 379-395.
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Other International Finance Issues– Linkages, Correlations, etc.
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