{"id":"https://openalex.org/W3125824037","doi":"https://doi.org/10.1016/j.jimonfin.2005.11.003","title":"Specification tests of international asset pricing models","display_name":"Specification tests of international asset pricing models","publication_year":2006,"publication_date":"2006-01-27","ids":{"openalex":"https://openalex.org/W3125824037","doi":"https://doi.org/10.1016/j.jimonfin.2005.11.003","mag":"3125824037"},"language":"en","primary_location":{"id":"doi:10.1016/j.jimonfin.2005.11.003","doi":"https://doi.org/10.1016/j.jimonfin.2005.11.003","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jimonfin.2005.11.003","pdf_url":null,"source":{"id":"https://openalex.org/S10747938","display_name":"Journal of International Money and Finance","issn_l":"0261-5606","issn":["0261-5606","1873-0639"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-2","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of International Money and Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100352054","display_name":"Xiaoyan Zhang","orcid":"https://orcid.org/0000-0001-6248-0669","observed_orcids":["https://orcid.org/0000-0001-6248-0669"]},"institutions":[{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Xiaoyan Zhang","raw_affiliation_strings":["Johnson Graduate School of Management, Cornell University, Ithaca, NY 14853, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Johnson Graduate School of Management, Cornell University, Ithaca, NY 14853, USA","institution_ids":["https://openalex.org/I205783295"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5100352054"],"corresponding_institution_ids":["https://openalex.org/I205783295"],"apc_list":{"value":3130,"currency":"USD","value_usd":3130},"apc_paid":null,"fwci":9.6412,"has_fulltext":false,"cited_by_count":78,"citation_normalized_percentile":{"value":0.97596605,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"25","issue":"2","first_page":"275","last_page":"307"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9932000041007996,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9932000041007996,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0031999999191612005,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.0005000000237487257,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/specification-tests","display_name":"specification tests","score":0.6539999842643738},{"id":"https://openalex.org/keywords/hansen-jagannathan-distance","display_name":"Hansen-Jagannathan distance","score":0.9079999923706055},{"id":"https://openalex.org/keywords/size-and-book-to-market-portfolios","display_name":"size and book-to-market portfolios","score":0.7990000247955322},{"id":"https://openalex.org/keywords/time-varying-beta","display_name":"time-varying beta","score":0.9279999732971191},{"id":"https://openalex.org/keywords/time-varying-risk-premia","display_name":"time-varying risk premia","score":0.9639999866485596},{"id":"https://openalex.org/keywords/conditional-capm","display_name":"conditional CAPM","score":0.7360000014305115},{"id":"https://openalex.org/keywords/fama-french-factors","display_name":"Fama-French factors","score":0.9570000171661377}],"concepts":[{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.8073558807373047},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6625670790672302},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6428825259208679},{"id":"https://openalex.org/C151541453","wikidata":"https://www.wikidata.org/wiki/Q523022","display_name":"Risk premium","level":2,"score":0.6010562777519226},{"id":"https://openalex.org/C117222624","wikidata":"https://www.wikidata.org/wiki/Q7575010","display_name":"Specification","level":2,"score":0.575322151184082},{"id":"https://openalex.org/C33175817","wikidata":"https://www.wikidata.org/wiki/Q3740200","display_name":"Stochastic discount factor","level":3,"score":0.5413046479225159},{"id":"https://openalex.org/C167626555","wikidata":"https://www.wikidata.org/wiki/Q5164759","display_name":"Consumption-based capital asset pricing model","level":3,"score":0.5038880705833435},{"id":"https://openalex.org/C176217482","wikidata":"https://www.wikidata.org/wiki/Q860554","display_name":"Metric (unit)","level":2,"score":0.4368115961551666},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4098310172557831},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.32747822999954224},{"id":"https://openalex.org/C21547014","wikidata":"https://www.wikidata.org/wiki/Q1423657","display_name":"Operations management","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.jimonfin.2005.11.003","doi":"https://doi.org/10.1016/j.jimonfin.2005.11.003","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jimonfin.2005.11.003","pdf_url":null,"source":{"id":"https://openalex.org/S10747938","display_name":"Journal of International Money and Finance","issn_l":"0261-5606","issn":["0261-5606","1873-0639"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-2","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of International Money and Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:jimfin:v:25:y:2006:i:2:p:275-307","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0261-5606(05)00129-4","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Partnerships for the goals","score":0.550000011920929,"id":"https://metadata.un.org/sdg/17"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":43,"referenced_works":["https://openalex.org/W1504090205","https://openalex.org/W1505403041","https://openalex.org/W1547569233","https://openalex.org/W1561153264","https://openalex.org/W1575345035","https://openalex.org/W1584607362","https://openalex.org/W1605409558","https://openalex.org/W1974449776","https://openalex.org/W1983549787","https://openalex.org/W1994686638","https://openalex.org/W1995834279","https://openalex.org/W2003498865","https://openalex.org/W2016097698","https://openalex.org/W2028995298","https://openalex.org/W2035293670","https://openalex.org/W2061160212","https://openalex.org/W2073740083","https://openalex.org/W2076438649","https://openalex.org/W2088563154","https://openalex.org/W2093239045","https://openalex.org/W2095102090","https://openalex.org/W2104547087","https://openalex.org/W2104795328","https://openalex.org/W2108390659","https://openalex.org/W2113305199","https://openalex.org/W2128396025","https://openalex.org/W2134555350","https://openalex.org/W2135647799","https://openalex.org/W2144452471","https://openalex.org/W2149170345","https://openalex.org/W2149990348","https://openalex.org/W2152187175","https://openalex.org/W2170415678","https://openalex.org/W3021353747","https://openalex.org/W3122026075","https://openalex.org/W3122037608","https://openalex.org/W3122311863","https://openalex.org/W3123226880","https://openalex.org/W3123752263","https://openalex.org/W3124314758","https://openalex.org/W3124655713","https://openalex.org/W4229685804","https://openalex.org/W4236335259"],"related_works":["https://openalex.org/W7095948280","https://openalex.org/W7097647351","https://openalex.org/W2097607624","https://openalex.org/W3124990325","https://openalex.org/W1517502368","https://openalex.org/W3125576810","https://openalex.org/W1893224226","https://openalex.org/W1524514029","https://openalex.org/W2158051384","https://openalex.org/W2582896818"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":7},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":5},{"year":2013,"cited_by_count":4},{"year":2012,"cited_by_count":8}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2021-02-01T00:00:00"}
