Hodgson, Douglas J.; Linton, Oliver; Vorkink, Keith - Centre de Recherche sur l'Emploi et les Fluctuations … - 2001
We develop new tests of the capital asset pricing model (CAPM) that take account of and are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric...