This paper examines the specification errors of several asset pricing models using the methodology of Hansen and Jagannathan (1997) and a common data set. The models are the CAPM, the Consumption CAPM, the Jagannathan and Wang (1996) conditional CAPM, the Campbell (1996) dynamic asset pricing...

This paper examines the specification errors of several asset pricing models using the methodology of Hansen and Jagannathan (1997) and a common data set. The models are the CAPM, the Consumption CAPM, the Jagannathan and Wang (1996) conditional CAPM, the Campbell (1996) dynamic asset pricing...

Using the BJZZ (2021) subpenny transaction price algorithm, we identify a broad swath of marketable retail investor orders in the U.S. market between January 2020 and June 2021. During the pandemic period, the retail trading volume we identify increases from 10% of total market volume to about...