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Capital Asset Pricing Model with Generalized Elliptical Distribution

✍ Scribed by Xu-song XU; Cheng-qi HOU


Book ID
108499394
Publisher
Elsevier
Year
2008
Weight
344 KB
Volume
28
Category
Article
ISSN
1874-8651

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Testing the capital asset pricing model
✍ Douglas J. Hodgson; Oliver Linton; Keith Vorkink πŸ“‚ Article πŸ“… 2002 πŸ› John Wiley and Sons 🌐 English βš– 209 KB

## Abstract We develop new tests of the capital asset pricing model that take account of and are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametr