Surajit D. Ray

Morgan Stanley

1585 Broadway

New York, NY 10036

United States

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Testing the CAPM Revisited

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Testing the CAPM Revisited

Number of pages: 35 Posted: 23 Mar 2009 Last Revised: 04 Oct 2009
Surajit D. Ray, N. Eugene Savin and Ashish Tiwari
Morgan Stanley, University of Iowa - Henry B. Tippie College of Business - Department of Economics and University of Iowa
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CAPM, Heteroskedasticity and autocorrelation robust (HAR) tests, Conventional Wald tests

Testing the CAPM Revisited

Journal of Empirical Finance, Vol. 16, No. 5, 2009
Number of pages: 35 Posted: 04 Dec 2009
Surajit D. Ray, N. Eugene Savin and Ashish Tiwari
Morgan Stanley, University of Iowa - Henry B. Tippie College of Business - Department of Economics and University of Iowa
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CAPM, Heteroskedasticity and autocorrelation robust tests, Heteroskedasticity and autocorrelation consistent estimators, Bartlett and Parzen kernels