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Multivariate tests of the capm under heteroskedasticity: A note

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  • Moy, Ronald L.
  • Lee, Ahyee
  • Chen, Thomas P.

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  • Moy, Ronald L. & Lee, Ahyee & Chen, Thomas P., 1997. "Multivariate tests of the capm under heteroskedasticity: A note," International Review of Economics & Finance, Elsevier, vol. 6(4), pages 431-439.
    • Handle: RePEc:eee:reveco:v:6:y:1997:i:4:p:431-439
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    References listed on IDEAS

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    1. Brown, Stephen J, 1977. "Heteroscedasticity in the Market Model: A Comment," The Journal of Business, University of Chicago Press, vol. 50(1), pages 80-83, January.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    4. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    5. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    6. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    7. Froot, Kenneth A., 1989. "Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(3), pages 333-355, September.
    8. Gibbons, Michael R., 1982. "Multivariate tests of financial models : A new approach," Journal of Financial Economics, Elsevier, vol. 10(1), pages 3-27, March.
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    Cited by:

    1. 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.

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