Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2002
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross … normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including …