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A Monte Carlo investigation of the accuracy of multivariate CAPM tests

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Author Info
Amsler, Christine E.
Schmidt, Peter

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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 14 (1985)
Issue (Month): 3 (September)
Pages: 359-375
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Handle: RePEc:eee:jfinec:v:14:y:1985:i:3:p:359-375

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Linda Allen & Julapa Jagtiani, 1996. "Risk and Market Segmentation in Financial Intermediaries’ Returns," Center for Financial Institutions Working Papers 96-36, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  2. M. Victoria Esteban, 1997. "Variabilidad predecible en los rendimientos de los activos: Evidencia e implicaciones," Investigaciones Economicas, Fundación SEPI, vol. 21(3), pages 523-542, September. [Downloadable!]
  3. Jay Shanken & Guofu Zhou, 2006. "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations," NBER Working Papers 12055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  4. Linda Allen & Julapa Jagtiani, 1997. "Risk and Market Segmentation in Financial Intermediaries' Returns," Journal of Financial Services Research, Springer, vol. 12(2), pages 159-173, October. [Downloadable!] (restricted)
  5. Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008. "Multivariate tests of asset pricing: Simulation evidence from an emerging market," Monash Econometrics and Business Statistics Working Papers 2/08, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  6. Jean-Marie Dufour & Lynda Khalaf, 2000. "Simulation Based Finite and Large Sample Tests in Multivariate Regressions," CIRANO Working Papers 2000s-15, CIRANO. [Downloadable!]
    Other versions:
  7. Pierluigi Balduzzi & Cesare Robotti, 2005. "Mimicking portfolios, economic risk premia, and tests of multi-beta models," Working Paper 2005-04, Federal Reserve Bank of Atlanta. [Downloadable!]
    Other versions:
  8. Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000. "Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach," STICERD - Econometrics Paper Series /2000/398, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    Other versions:
  9. Bruce N. Lehmann, 1992. "Empirical Testing of Asset Pricing Models," NBER Working Papers 4043, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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