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| Author: | Rubio, G. |
| Title: | An empirical evaluation of the intertemporal capital asset pricing model: The stock market in Spain |
| Journal: | Journal of Business Finance and Accounting
1989 : WINTER, VOL. 16:5, p.729-743 |
| Index terms: | CORPORATE FINANCE CAPITAL ASSETS PRICING STOCK MARKETS SPAIN DYNAMIC MODELS |
| Language: | eng |
| Abstract: | Given the weak previous empirical evidence supporting the traditional forms of asset pricing models in the Spanish capital market, additional results are reported regarding the empirically implemented version of Merton's Intertemporal Capital Asset Pricing Model. This model is also rejected either by an exact multivariate F test or by recognizing conditional residual heteroshedasticity. |
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