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Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models

DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Département de Sciences Économiques, Université de … - 2003

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical...

Persistent link: https://www.econbiz.de/10005545654

A Non-Parametric Test of the Conditional CAPM for the Mexican Economy

Castillo-Spíndola, Jorge H. del - In: Estudios Económicos 21 (2006) 2, pp. 275-297

widely used is the Sharpe-Lintner-Black Capital Asset Pricing Model (CAPM). However many anomalies and evidence against this … version have been presented. To assume that the CAPM holds in a conditional sense is to assume that the betas and the market … risk premium vary along time. We present a test of the conditional version of the CAPM for the Mexican economy, that uses a …

Persistent link: https://www.econbiz.de/10005434714

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - Deutsche Bundesbank - 2003

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …

Persistent link: https://www.econbiz.de/10005083101

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Département de Sciences Économiques, Université de … - 2003

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...

Persistent link: https://www.econbiz.de/10005729824

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda. - Département de Sciences Économiques, Université de … - 2002

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 …

Persistent link: https://www.econbiz.de/10005729905

The effect of government decisions on the efficiency of the investment funds market in Poland

Witkowska, Dorota; Kompa, Krzysztof; Mentel, Grzegorz - In: Journal of business economics and management 20 (2019) 3, pp. 573-594

Polish government introduced crucial changes concerning conditions of the pension funds functioning in the years 2011-2014. This article focuses on explaining the impact of these political decisions on efficiency of investment fund market in Poland. Therefore, the article aims (1) to find out if...

Persistent link: https://www.econbiz.de/10012175765

Identification-Robust Estimation and Testing of the Zero-Beta CAPM

Beaulieu, Marie-Claude - 2011

We propose exact simulation-based procedures for: (i) testing mean-variance efficiency when the zero-beta rate is unknown, and (ii) building confidence intervals for the zero-beta rate. On observing that this parameter may be weakly identified, we propose LR-type statistics as well as...

Persistent link: https://www.econbiz.de/10013130243

Agency-Based Asset Pricing and the Beta Anomaly

Blitz, David - 2012

I argue that delegated portfolio management can cause the equilibrium relation between CAPM beta and expected stock …

Persistent link: https://www.econbiz.de/10013105969

Agency-Based Asset Pricing and the Beta Anomaly

Blitz, David - 2014

I argue that delegated portfolio management can cause the equilibrium relation between CAPM beta and expected stock …

Persistent link: https://www.econbiz.de/10013060738

Multifacets of Beta

Hwang, Soosung; Rubesam, Alexandre - 2022

We revisit the relationship between betas and cross-sectional asset returns, by investigating asymmetric responses of asset returns to the market portfolio return and their relationship with firm characteristics. We demonstrate that post-formation portfolios in asset pricing tests, which are...

Persistent link: https://www.econbiz.de/10014239056