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A Monte Carlo investigation of the accuracy of multivariate CAPM tests

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  • Amsler, Christine E.
  • Schmidt, Peter

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  • Amsler, Christine E. & Schmidt, Peter, 1985. "A Monte Carlo investigation of the accuracy of multivariate CAPM tests," Journal of Financial Economics, Elsevier, vol. 14(3), pages 359-375, September.
  • Handle: RePEc:eee:jfinec:v:14:y:1985:i:3:p:359-375
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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. Linda Allen & Julapa Jagtiani, 1997. "Risk and Market Segmentation in Financial Intermediaries' Returns," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(2), pages 159-173, October.
    11. Bruce N. Lehmann, 1992. "Empirical Testing of Asset Pricing Models," NBER Working Papers 4043, National Bureau of Economic Research, Inc.

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