haku: @indexterm capital asset pricing / yhteensä: 356
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| Tekijä: | Vorkink, K. |
| Otsikko: | Return distributions and improved tests of asset pricing models |
| Lehti: | Review of Financial Studies
2003 : FALL, VOL. 16:3, p. 845-874 |
| Asiasana: | Return on investment Capital asset pricing Financial models |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA