The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
Abstract
The purpose of this paper is to investigate testable implications of equilibrium asset pricing models. We derive a general representation for asset prices that displays the role of conditioning information. This representation is then used to examine restrictions implied by asset pricing models on the unconditional moments of asset payoffs and prices. In particular, we analyze the effect of information omission on the mean-variance frontier of one-period returns on portfolios of securities. Also, we deduce an information extension of equilibrium pricing functions that is useful in deriving restrictions on the unconditional moments of payoffs and prices.
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
Cites
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
Cited by
Asset pricing with liquidity risk
ACHARYA, V, & PEDERSEN, L. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.06.007 · Cited by 2,773
Measuring Fund Strategy and Performance in Changing Economic Conditions
FERSON, W. E., & SCHADT, R. W. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb02690.x · Cited by 1,759
Production‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations
COCHRANE, J. H. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb03750.x · Cited by 1,123
Conditioning variables and the cross-section of stock returns
Ferson, W. E., & Harvey, C. R. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00148 · Cited by 839
Characteristics are covariances: A unified model of risk and return
Kelly, B. T., Pruitt, S., & Su, Y. (2019) · Journal of Financial Economics · doi:10.1016/j.jfineco.2019.05.001 · Cited by 809
Metadata
- Authors
- Hansen, L. P., & Richard, S. F.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1987-05
- Volume
- 55
- Issue
- 3
- Pages
- 587
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2162976621
- Cited by
- 978
- References
- 1
- FWCI
- 26.18
- 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: The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models. https://app.cochat.ai/papers/10.2307/1913601
- The paper
- Hansen, L. P., & Richard, S. F. (1987). The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models. Econometrica. https://doi.org/10.2307/1913601
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.
