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The evolution of portfolio rules and the capital asset pricing model

โœ Scribed by Emanuela Sciubba


Publisher
Springer
Year
2005
Tongue
English
Weight
232 KB
Volume
29
Category
Article
ISSN
0938-2259

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Testing the capital asset pricing model
โœ Douglas J. Hodgson; Oliver Linton; Keith Vorkink ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 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