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Multivariate tests of financial models

Опубликовано на портале: 02-10-2003
Journal of Financial Economics. 1982.  Vol. 10. No. 1. P. 3-27. 
Тематический раздел:
A variety of financial models are cast as nonlinear parameter restrictions on multivariate regression models, and the framework seems well suited for empirical purposes. Aside from eliminating the errors-in-the-variables problem which has plagued a number of past studies, the suggested methodology increases the precision of estimated risk premiums by as much as 76%. In addition, the approach leads naturally to a likelihood ratio test of the parameter restrictions as a test for a financial model. This testing framework has considerable power over past test statistics. With no additional variable beyond , the substantive content of the CAPM is rejected for the period 1926–1975 with a significance level less than 0.001.

Материалы статьи используются в книге Брейли и Майерса "Принципы корпорпоративных финансов"

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на статью находится на страничке сайта Elsevier Science, посвященного Journal
Financial Economics
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http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6VBX-45MFS80-R&_user=10&_coverDate=03%2F31%2F1982&_rdoc=2&_fmt=summary&_orig=browse&_sort=d&view=c&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=d57d4102b256a33803205a8ce0015f1a
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