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| Author: | Chou, P-H. |
| Title: | Alternative tests of the zero-beta CAPM |
| Journal: | European Finance Review
2000 : WINTER, VOL. 23:4, p. 469-493 |
| Index terms: | CAPITAL ASSET PRICING TESTS |
| Language: | eng |
| Abstract: | In this paper the author develops an analytical Wald test of the zero-beta capital asset pricing model (CAPM) in a simple iid (independent and identically distributed) setting and extends the Wald test to the generalized method of moments (GMM) framework that allows for a general form of serial correlation and conditional heteroskedasticity. |
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