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Cited by 486

The DOI matches its Crossref record; 19 of the 19 references it cites were found in a registry or an index.

Comparing asset pricing models: an investment perspective

Open access
Pástor, Ľuboš, Stambaugh, Robert F.·2000·Journal of Financial Economics
DOI 10.1016/s0304-405x(00)00044-1
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Abstract

We investigate the portfolio choices of mean-variance-optimizing investors who use sample evidence to update prior beliefs centered on either risk-based or characteristic-based pricing models. With dogmatic beliefs in such models and an unconstrained ratio of position size to capital, optimal portfolios can differ across models to economically significant degrees. The differences are substantially reduced by modest uncertainty about the models’ pricing abilities. When the ratio of position size to capital is subject to realistic constraints, the differences in portfolios across models become even less important and are nonexistent in some cases.

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Crossref · 10.1016/s0304-405x(00)00044-1

Cites

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Metadata

Authors
Pástor, Ľ., & Stambaugh, R. F.
Venue
Journal of Financial Economics
Publisher
Elsevier BV
Published
2000-06
Volume
56
Issue
3
Pages
335-381
ISSN
0304-405X (ISSN-L)
DOI
10.1016/s0304-405x(00)00044-1
OpenAlex
W3124539167
Cited by
486
References
19
FWCI
20.98
Type
journal article
Language
en
Open access
hybrid

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CoChat. (2026). Citation check: Comparing asset pricing models: an investment perspective. https://app.cochat.ai/papers/10.1016/s0304-405x(00)00044-1
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Pástor, Ľ., & Stambaugh, R. F. (2000). Comparing asset pricing models: an investment perspective. Journal of Financial Economics. https://doi.org/10.1016/s0304-405x(00)00044-1

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.