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| Author: | Vorkink, K. |
| Title: | Return distributions and improved tests of asset pricing models |
| Journal: | Review of Financial Studies
2003 : FALL, VOL. 16:3, p. 845-874 |
| Index terms: | Return on investment Capital asset pricing Financial models |
| Language: | eng |
| Abstract: | The authors compare and contrast some existing ordinary least squares and generalized method of moments tests of asset pricing models with a new more general test. This new test is valid under the assumption that returns are elliprically distributed, a necessary and sufficient assumption of the linear capital asset pricing model. |
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