The DOI matches its Crossref record.
A Cross-Sectional Test of an Investment-Based Asset Pricing Model
Abstract
I examine a factor pricing model for stock returns. The factors are returns on physical investment, inferred from investment data via a production function. I examine the model's ability to explain variation in expected returns across assets and over time. The model is not rejected. It performs about as well as the CAPM and the Chen, Roll, and Ross factor model, and it performs substantially better than a simple consumption-based model. I also provide an easy technique for estimating and testing dynamic, conditional asset pricing models--one simply includes factors and returns scaled by instruments in an unconditional estimate--and for comparing such models.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cited by
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Cultural Biases in Economic Exchange?*
Guiso, L., Sapienza, P., & Zingales, L. (2009) · Quarterly Journal of Economics · doi:10.1162/qjec.2009.124.3.1095 · Cited by 1,922
Asset Pricing Implications of Nonconvex Adjustment Costs and Irreversibility of Investment
COOPER, I. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.00832.x · Cited by 363
Does risk aversion drive financial crises? Testing the predictive power of empirical indicators
Coudert, V., & Gex, M. (2008) · Journal of Empirical Finance · doi:10.1016/j.jempfin.2007.06.001 · Cited by 217
Metadata
- Authors
- Cochrane, J. H.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 1996-06
- Volume
- 104
- Issue
- 3
- Pages
- 572-621
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W2016097698
- Cited by
- 1,022
- References
- 0
- FWCI
- 17.86
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: A Cross-Sectional Test of an Investment-Based Asset Pricing Model. https://app.cochat.ai/papers/10.1086/262034
- The paper
- Cochrane, J. H. (1996). A Cross-Sectional Test of an Investment-Based Asset Pricing Model. Journal of Political Economy. https://doi.org/10.1086/262034
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.
