Assessing Asset Pricing Models Using Revealed Preference

Preprint OPEN
Jonathan B. Berk; Jules H. van Binsbergen;
(2014)
  • Subject:
    • jel: jel:G12 | jel:G23 | jel:D14 | jel:G00 | jel:G11 | jel:D24 | jel:G10 | jel:E22 | jel:E44 | jel:G20 | jel:G0 | jel:G1 | jel:E2 | jel:G2

We propose a new method of testing asset pricing models that relies on using quantities rather than prices or returns. We use the capital flows into and out of mutual funds to infer which risk model investors use. We derive a simple test statistic that allows us to infe... View more
  • References (9)

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