Kan, Raymond (contributor); Robotti, Cesare (contributor) - 2007
: Although it is of interest to empirical researchers to test whether or not a particular asset-
pricing model is true, a more … useful task is to determine how wrong a model is and to compare the
performance of competing asset-pricing models. In this … paper, we propose a new methodology to test
whether two competing linear asset-pricing models have the same Hansen …