Acknowledgments

Introducti

Part Ⅰ Classical Tests of Linear Pricing Rules

1 Small Sample Tests of Portfolio Efficiency,Journal of Financial Economics,30;165-191,1991

2 Testing Multi-Beta Asset Pricing Models,Journal of Empirical Finance,6:219-241,1999

3 Small Sample Rank Tests with Applications to Asset Pricing,Journal of Empirical Finance,2:71-93,1995

4 Security Factors sa Linear Combinations of Economic Variables,Journal of Financial Markets,2:403-432,1999

Part Ⅱ Robustness Analysis

5 Asset-Pricing Tests under Alternative Distributions,The Journal of Finance,XL VIII:1927-1942,1993

6 International Asset Pricing with Alternative Distributional Specifications,Journal of Empirical Finance,1:107-131,1993

7 AnalyticalGMM Tests:Asset Pricing with Time-Varying Risk Premiums,The Review of Financial Studies,7:687-709,1994

Part Ⅲ Pricing Kernel Tests

8 A Critique of the Stochastic Discount Factor Methodology,The Journal of Finance.LIV:1221-1248,1999

Part Ⅳ Bayesian Analysis

9 Bayesian Inference in Asset Pricing Tests,Journal of Financial Economics,26:221-254,1990

10 Measuring the Pricing Error of the Arbitrage Pricing Theory,The Review of financial Studies ,9:557-587,1996

11 Temporary Components of Stock Returns:What DO the Data Tell Us?The Review of Financial Studies,9:1033-1059,1996