文章基本信息

标题：Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach
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作者：Douglas J Hodgson ; Oliver Linton ; Keith Vorkink 等
期刊名称：Distributional Analysis Publications
印刷版ISSN：1352-2469
出版年度：2000
卷号：2000
出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：We develop new tests of the capital asset pricing model which are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric efficient estimation procedures for a seemingly unrelated regression model where the multivariate error density is elliptically symmetric. The elliptical symmetry assumption allows us to avoid the curse of dimensionality problem that typically arises in multivariate semiparametric estimation procedures, because the multivariate elliptically symmetric density function can be written as a function of a scalar transformation of the observed multivariate data. The elliptically symmetric family includes a number of thick-tailed distributions and so is potentially relevant in financial applications. Our estimated betas are lower than the OLS estimates, and our parameter estimates are much less consistent with the CAPM restrictions than the corresponding OLS estimates
关键词：Adaptive estimation; capital asset pricing model; efficiency