Multivariate tests of the zero-beta CAPM
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- Type
- article
- Published
- 1985-09-01
- Cited by
- 422
- References
- 28
- OpenAlex
- https://openalex.org/W1963969817
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:15933187
Keywords
Multivariate statistics, Inefficiency, Statistics, Multiplier (economics), Econometrics
References
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- An analysis of multivariate financial tests
- An analysis of the traditional risk-return model
- On the exclusion of assets from tests of the two-parameter model: A sensitivity analysis
- An introduction to linear statistical models
- MULTIVARIATE TESTS OF FINANCIAL MODELS A New Approach
- A Monte Carlo investigation of the accuracy of multivariate CAPM tests
- A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency
- CONFLICT AMONG CRITERIA FOR TESTING HYPOTHESES IN THE MULTIVARIATE LINEAR REGRESSION MODEL
- Potential performance and tests of portfolio efficiency
- A Critique of the Asset Pricing Theory''s Tests: Part I
- THE CAPITAL ASSET PRICING MODEL (CAPM), SHORT‐SALE RESTRICTIONS AND RELATED ISSUES
- An Introduction to Multivariate Statistical Analysis
- A reply to Mayers and Rice (1979)
- The likelihood ratio test statistic of mean-variance efficiency without a riskless asset
- Conflict among the Criteria Revisited: The W, LR and LM Tests
- A Unified Beta Pricing Theory
- Risk, Return, and Equilibrium: Empirical Tests
- SIZE-RELATED ANOMALIES AND STOCK RETURN SEASONALITY Further Empirical Evidence
- Foundations of Finance.
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- Assessing the Risk in Sample Minimum Risk Portfolios
- Testing the risk and return trade-off in the Athens stock exchange
- Rentabilidad-riesgo en futuros de deuda a largo plazo
- Full-Rank Maximum Correlation Portfolio Approach in Asset Pricing Tests
- The roles of systematic skewness and systematic kurtosis in asset pricing
- Panel Data Inference in Finance: Least-Squares vs Fama-Macbeth
- Optimal Portfolio Rules and Maximum Gains from Economic Events
- Cross-Section Changes of Rates of Return on the Shares Traded on the Warsaw Stock Exchange
- Modelowanie równowagi na rynku kapitałowym - weryfikacja empiryczna na przykładzie akcji notowanych na Giełdzie Papierów Wartościowych w Warszawie
- Innovation Related to Future Labor Income Growth and the Cross-Section of Equity Returns
- SYSTEMATIC RISK FACTORS IN AUSTRALIAN SECURITY PRICING
- Value, Momentum and Market Timing
- The Effect of Analysts' Forecasts on Stock Market Returns: A Composite Multifactor Approach
- Does Corporate Performance Improve After Acquisitions? A Case of Indian Companies
- Real Estate Risk in Equity Returns
- Tilt Nickels to Diamonds
- An empirical analysis of financial issues in theAustralian electronic commerce sector
- Finite-sample identification-robust inference for unobservable zero-beta rates and portfolio efficiency with non-Gaussian distributions ⁄
- The diversification benefits and the risk and return relationships in the Chinese A-share market
- Conditional betas, higher comoments and the cross-section of expected stock returns
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