Alternative tests of the zero-beta CAPM

研究成果: 雜誌貢獻期刊論文同行評審

5 引文 斯高帕斯(Scopus)


In this paper I develop an analytical Wald test of the zero-beta capital asset pricing model (CAPM) in a simple iid (independent and identically distributed) setting and extend the Wald test to the generalized method of moments (GMM) framework that allows for a general form of serial correlation and conditional heteroskedasticity. The size and power of these tests, along with some existing tests, are investigated under normal errors and other alternative distributional specifications. The results show that, under alternative distributional assumptions for the error terms, the proposed Wald and GMM tests have reliable sizes for medium-size samples, whereas the likelihood ratio test (LRT) rejects the efficiency too often, especially when the error terms significantly deviate from normality. However, the LRT is more powerful than both the Wald and GMM tests. JEL classification: C13, C53, G14.

頁(從 - 到)469-493
期刊Journal of Financial Research
出版狀態已出版 - 12月 2000


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