A Monte Carlo investigation of the accuracy of multivariate CAPM tests
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Economics.
Volume (Year): 14 (1985)
Issue (Month): 3 (September)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/505576
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000.
"Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach,"
LSE Research Online Documents on Economics
2197, London School of Economics and Political Science, LSE Library.
- Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639.
- 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.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers 143, CREFE, Université du Québec à Montréal.
- Oliver Linton & Douglas J.Hodgson & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," FMG Discussion Papers dp382, Financial Markets Group.
- Rubio, Gonzalo & Lozano, Martin, 2009.
"Evaluating alternative methods for testing asset pricing models with historical data,"
23613, University Library of Munich, Germany.
- Lozano, Martín & Rubio, Gonzalo, 2011. "Evaluating alternative methods for testing asset pricing models with historical data," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 136-146, January.
- Pierluigi Balduzzi & Cesare Robotti, 2005.
"Mimicking portfolios, economic risk premia, and tests of multi-beta models,"
2005-04, Federal Reserve Bank of Atlanta.
- Balduzzi, Pierluigi & Robotti, Cesare, 2008. "Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 354-368.
- Dufour, J.M. & Khalaf, L., 2000.
"Simulation-Based Finite and Large Sample Tests in Multivariate Regressions,"
Cahiers de recherche
2000-10, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Simulation based finite and large sample tests in multivariate regressions," Journal of Econometrics, Elsevier, vol. 111(2), pages 303-322, December.
- DUFOUR, Jean-Marie & KHALAF, Lynda, 2000. "Simulation-Based Finite and Large Sample Tests in Multivariate Regressions," Cahiers de recherche 2000-10, Universite de Montreal, Departement de sciences economiques.
- Jean-Marie Dufour & Lynda Khalaf, 2000. "Simulation Based Finite and Large Sample Tests in Multivariate Regressions," CIRANO Working Papers 2000s-15, CIRANO.
- 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.
- Javed Iqbal & Robert Brooks & Don Galagedera, 2010. "Multivariate tests of asset pricing: simulation evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(5), pages 381-395.
- Shanken, Jay & Zhou, Guofu, 2007.
"Estimating and testing beta pricing models: Alternative methods and their performance in simulations,"
Journal of Financial Economics,
Elsevier, vol. 84(1), pages 40-86, April.
- Jay Shanken & Guofu Zhou, 2007. "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," CEMA Working Papers 275, China Economics and Management Academy, Central University of Finance and Economics.
- 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.
- 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.
- 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.
- Grauer, Robert R. & Janmaat, Johannus A., 2009. "On the power of cross-sectional and multivariate tests of the CAPM," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 775-787, May.
- Bruce N. Lehmann, 1992. "Empirical Testing of Asset Pricing Models," NBER Working Papers 4043, National Bureau of Economic Research, Inc.
- Saban Celik, 2012. "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 141-178.
- Shanken, Jay & Weinstein, Mark I., 2006. "Economic forces and the stock market revisited," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 129-144, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.