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Multivariate tests of the capm under heteroskedasticity: A note

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Listed author(s):
  • Moy, Ronald L.
  • Lee, Ahyee
  • Chen, Thomas P.
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    File URL: http://www.sciencedirect.com/science/article/pii/S1059-0560(97)90033-2
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    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 6 (1997)
    Issue (Month): 4 ()
    Pages: 431-439

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    Handle: RePEc:eee:reveco:v:6:y:1997:i:4:p:431-439
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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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. 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(03), pages 333-355, September.
    5. Gibbons, Michael R., 1982. "Multivariate tests of financial models : A new approach," Journal of Financial Economics, Elsevier, vol. 10(1), pages 3-27, March.
    6. 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.
    7. 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.
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    Cited by:

    1. 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.

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