Ho-Chuan (River) Huang; Wu, Pei-Shan - In: Applied Financial Economics Letters 1 (2005) 5, pp. 321-327
This study takes into account two important features found in most time series, namely, nonlinearity and structural instability, in the test of the Sharpe--Lintner CAPM. Using data on BM- and size-sorted quintile portfolios, we implement the multiple structural change approach of Bai and Perron...