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Violation of the iid-normal assumption: Effects on tests of asset-pricing models using Australian data

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  • Groenewold, Nicolaas
  • Fraser, Patricia

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  • Groenewold, Nicolaas & Fraser, Patricia, 2002. "Violation of the iid-normal assumption: Effects on tests of asset-pricing models using Australian data," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 491-510.
    • Handle: RePEc:eee:finana:v:11:y:2002:i:4:p:491-510
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    3. N. Groenewold & P. Fraser, 1999. "Violation of the IID-Normal Assumption: Effects on tests of asset-pricing models using Australian data," Economics Discussion / Working Papers 99-12, The University of Western Australia, Department of Economics.
    4. Nicolaas Groenewold, 1997. "Share Prices and Macroeconomic Factors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(9&10), pages 1367-1383.
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    8. Gibbons, Michael R. & Ferson, Wayne, 1985. "Testing asset pricing models with changing expectations and an unobservable market portfolio," Journal of Financial Economics, Elsevier, vol. 14(2), pages 217-236, June.
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    11. Nicolaas, Patricia Groenewold Fraser, 1997. "Share Prices and Macroeconomic Factors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(9‐10), pages 1367-1383, October.
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    16. McElroy, Marjorie B & Burmeister, Edwin, 1988. "Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model: Iterated Nonlinear Seemingly Unrelated Regression Estimates," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(1), pages 29-42, January.
    17. Terence Mills & J. Andrew Coutts, 1996. "Misspecification testing and robust estimation of the market model: estimating betas for the FT-SE industry baskets," The European Journal of Finance, Taylor & Francis Journals, vol. 2(4), pages 319-331.
    18. R Schwob, 2000. "Style and style analysis from a practitioner's perspective: What is it and what does it mean for European Equity investors?," Journal of Asset Management, Palgrave Macmillan, vol. 1(1), pages 39-59, July.
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    Cited by:

    1. Yao, Juan & Alles, Lakshman, 2006. "Industry return predictability, timing and profitability," Journal of Multinational Financial Management, Elsevier, vol. 16(2), pages 122-141, April.

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