School of Business, University of Washington, School of Business Administration, University of Western Ontario, and the Wharton School, University of Pennsylvania, respectively. Formerly circulated under the title: “Tests of Asset Pricing Models with Changing Expectations.” We thank Phillip Braun, Mark Grinblatt, Robert Korajczyk, Andrew Lo, Craig MacKinlay, two anonymous referees, and seminar participants at Northwestern University and the Western Finance Association meetings for helpful comments. The research assistance of Raymond Chan and Edward Nelling is gratefully acknowledged. The first author acknowledges financial support from the Center for Research in Security Prices. The second author acknowledges financial support from the Plan for Excellence.
General Tests of Latent Variable Models and Mean-Variance Spanning
Version of Record online: 30 APR 2012
© 1993 the American Finance Association
The Journal of Finance
Volume 48, Issue 1, pages 131–156, March 1993
How to Cite
FERSON, W. E., FOERSTER, S. R. and KEIM, D. B. (1993), General Tests of Latent Variable Models and Mean-Variance Spanning. The Journal of Finance, 48: 131–156. doi: 10.1111/j.1540-6261.1993.tb04704.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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