significance level. The tests proposed are applied to an asset pricing model with observable risk-free rates, using monthly returns …

experiment. Finally, the tests are applied to an asset pricing model with observable risk-free rates, using monthly returns on …

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including …