Gungor, Sermin; Luger, Richard - In: Journal of Business & Economic Statistics 31 (2013) 1, pp. 66-77
In this article, we develop a finite-sample distribution-free procedure to test the beta-pricing representation of linear factor pricing models. In sharp contrast to extant finite-sample tests, our framework allows for unknown forms of nonnormalities, heteroscedasticity, and time-varying...