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| Author: | Groenewold, N. Fraser, P. |
| Title: | Violation of the iid-normal assumption: Effects on tests of asset-pricing models using Australian data |
| Journal: | International Review of Financial Analysis
2002 : VOL. 11:4, p. 491-510 |
| Index terms: | ASSETS PRICING MODELS AUSTRALIA |
| Language: | eng |
| Abstract: | Financial data are typically not identically, independently and normally distributed (iid-normal). Yet, standard tests of asset-pricing models are based on this assumption, and the authors have little information on how sensitive the tests are to violations of iid-normality. Recent evidence suggests that test outcomes may be sensitive to these violations. In this paper, the authors use. Australian data to compare the standard test results with those that do not require iid-normality the GMM-J test and bootstrap-based tests. The authors find that different tests produce differences in prob values at least as large as those in US studies but that test outcomes are generally robust. |
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