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On multivariate tests of the CAPM

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Author Info
MacKinlay, A. Craig
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File URL: http://www.sciencedirect.com/science/article/B6VBX-458WNDD-13/2/bcc59f5244e8d1fb508895bee308a8dc
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 18 (1987)
Issue (Month): 2 (June)
Pages: 341-371
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Handle: RePEc:eee:jfinec:v:18:y:1987:i:2:p:341-371

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

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  1. De Arce Borda, R., 2004. "20 años de modelos ARCH: una visión de conjunto de las distintas variantes de la familia/20 Years of Arch Modelling: a Survey of Different Models in the Family," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 27, Abril. [Downloadable!] (restricted)
  2. Erdinc Altay, 2003. "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework," Finance 0307006, EconWPA. [Downloadable!]
  3. 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. [Downloadable!]
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  4. Michael Basch & Gonzalo García-Huidobro, 1997. "Costo de Capital en Segmentos Industriales: Una Estimación Robusta," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(102), pages 139-160. [Downloadable!]
  5. Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2004. "A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1," NBER Working Papers 10447, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Charles Engel & Jeffrey A. Frankel & Kenneth A. Froot & Anthony P. Rodrigues, 1989. "Conditional Mean-Variance Efficiency of the U.S. Stock Market," NBER Working Papers 2890, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  8. Pin-Huang Chou, 1996. "Using Bootstrap to Test Mean-Variance Efficiency of a Given Portfolio," Finance 9609002, EconWPA. [Downloadable!]
  9. Ravikumar, B. & Ray, Surajit & Savin, N.E., 1999. "CAPM Reconsidered: A Robust Finite Sample Evaluation," Working Papers 99-04, University of Iowa, Department of Economics. [Downloadable!]
  10. Wayne E. Ferson & Andrew Siegel, 2002. "Stochastic Discount Factor Bounds with Conditioning Information," NBER Working Papers 8789, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  11. A. Craig MacKinlay, 1994. "Multifactor Models Do Not Explain Deviations from the CAPM," NBER Working Papers 4756, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  12. Andrew W. Lo & A. Craig MacKinlay, 1991. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," NBER Working Papers 3001, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  13. Pin-Huang Chou & Robert P. Parks, 1993. "A Further Re-Examination of the Contrarian Investment Strategy: Evidence from Multivariate Tests," Finance 9307001, EconWPA, revised 25 Jul 1993. [Downloadable!]
  14. 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!]
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  15. 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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