This section went over standard tests of the cannonical asset pricing theory.

Finding Alpha Home

Jensen's Alpha

Black, Jensen and Scholes on the CAPM

Sharpe on Mutual Fund Performance

Risk Aversion in the Stock Market

Fisher and Lorie on CRSP data

Blume and Friend on the CAPM

Basu on the Value effect

Size effect

Fama and French on Beta in 1992

Connor and Korajczyk's Principle Components

Gibbons, Ross, Shanken on testing the CAPM

Shanken 1985 on testing the CAPM

Jagannathan and Wang's CAPM refinement

Lettau and Ludvigson's CAPM refinement

Campbell and Vuolteenaho's CAPM refinement

Shumway on the delisting bias

Blume and Stambaugh on daily return bias