Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach

39 Pages Posted: 21 Jul 2008  

Douglas J. Hodgson

University of Quebec at Montreal (UQAM) - Department of Economics

Oliver B. Linton

University of Cambridge

Keith Vorkink

Brigham Young University - J. Willard and Alice S. Marriott School of Management

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Date Written: July 2000

Abstract

Adaptive estimation; capital asset pricing model; efficiency

JEL Classification: C13, C14

Suggested Citation

Hodgson, Douglas J. and Linton, Oliver B. and Vorkink, Keith, Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach (July 2000). LSE STICERD Research Paper No. EM398. Available at SSRN: https://ssrn.com/abstract=1162589

Douglas J. Hodgson (Contact Author)

University of Quebec at Montreal (UQAM) - Department of Economics ( email )

P.O. Box 8888, Downtown Station
Montreal, Quebec H3C 3P8
Canada

Oliver B. Linton

University of Cambridge ( email )

Faculty of Economics
Cambridge, CB3 9DD
United Kingdom

Keith Vorkink

Brigham Young University - J. Willard and Alice S. Marriott School of Management ( email )

Provo, UT 84602
United States

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