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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"

на статью находится на страничке сайта Elsevier Science, посвященного Journal
Financial Economics
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