Introduction 1
Part Ⅰ Classical Tests of Linear Pricing Rules 3
1. Small Sample Tests of Portfolio Efficiency,Journal of Financial Economics,30：165-191，1991 3
2. Testing Multi-Beta Asset Pricing Models,Journal of Empirical Finance,6：219-241，1999 30
3. Small Sample Rank Tests with Applications to Asset Pricing,Journal of Empirical Finance,2：71-93，1995 53
4. Security Factors as Linear Combinations of Economic Variables,Journal of Financial Markets,2：403-432，1999 76
5. Asset-Pricing Tests under Alternative Distributions,The Journal of Finance,XL VIII(5)：1927-1942，1993 109
Part Ⅱ Robustness Analysis 109
6. International Asset Pricing with Alternative Distributional Specifications,Journal of Empirical Finance,1：107-131，1993 125
7. Analytical GMM Tests：Asset Pricing with Time-Varying Risk Premiums,The Review of Financial Studies,7(4)：687-709，1994 150
Part Ⅲ Pricing Kernel Tests 175
8. A Critique of the Stochastic Discount Factor Methodology,The Journal of Finance.LIV(4)：1221-1248，1999 175
Part Ⅳ Bayesian Analysis 205
9. Bayesian Inference in Asset Pricing Tests,Journal of Financial Economics,26：221-254，1990 205
10. Measuring the Pricing Error of the Arbitrage Pricing Theory,The Review of Financial Studies,9(2)：557-587，1996 239