Elyasiani, Elyas; Nasseh, Alireza - In: Journal of Financial Research 23 (2000) 1, pp. 103-128
In this paper nonnested tests are used to contrast the performance of the capital asset pricing (CAPM) and consumption capital asset pricing (CCAPM) theories in describing the U.S. stock market. The procedures employed include the N-test, the NT-test, the W-test, the J-test, and the Encompassing...
