The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical results regarding the relation between market Beta and...

Logan et al. (1973) analyze the limit probability distribution of the statistic sn(p) = Σi=1 Xi/(Σi=1 Χj ) /p as n → ∞, when Xi is in the domain of attraciton of a stable law with stabilility index a. By simulations, we provide quantiles of the usual critical levels of the finite-sample...