## 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
✦ LIBER ✦
Testing the capital asset pricing model with Local Maximum Likelihood methods
✍ Scribed by Burç Kayahan; Thanasis Stengos
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 277 KB
- Volume
- 46
- Category
- Article
- ISSN
- 0895-7177
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