search query: @author Fraser, P. / total: 7
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| Author: | Groenewold, N. Fraser, P. |
| Title: | Tests of asset-pricing models: How important is the iid- normal assumption? |
| Journal: | Journal of Empirical Finance
2001 : SEP, VOL. 8:4, p. 427-449 |
| Index terms: | ASSETS PRICING MODELS |
| Language: | eng |
| Abstract: | Financial data are typically not lid-normal. Yet standard tests of asset-pricing models are based on this assumption. The authors address the question of how sensitive the tests are to violations of nd normality and use Australian data to compare the standard test results with those of the GMM- based J test and bootstrap-based tests. The authors find that, in contrast to US evidence, standard test results are robust to the iid-normality assumption. This is true for all tests and for all three asset-pricing models analysed. The paper provides the substantial list of references on this subject. |
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