Nonnested Procedures in Econometric Tests of Asset Pricing Theories

The Journal of Financial Research • Vol. XXIII, No. 1 • Pages 103-128 • Spring 2000

Fox School of Business Research Paper

26 Pages Posted: 17 Jun 2014 Last revised: 30 Dec 2016

See all articles by Elyas Elyasiani

Elyas Elyasiani

Temple University - Department of Finance

Alireza Nasseh

Saint Louis University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Date Written: 2000

Abstract

In this paper nonnested tests are used to contrast the performance of the capital asset pricing (CAPM) and consumption capital asset pricing (CCAPM) theories in describing the U.S. stock market. The procedures employed include the N-test, the NT-test, the W-test, the J-test, and the Encompassing test. The tests are carried out using data on firms as well as portfolios based on beta, capitalization, and Standard Industrial Classification codes. The findings indicate that although during 1973-82 the CAPM dominates the CCAPM, during 1978-87 the results are mixed, and during 1983-92 the CCAPM dominates. The finding in favor of the CCAPM in 1983-92 conflicts with much of the existing literature, which favors the CAPM.

Suggested Citation

Elyasiani, Elyas and Nasseh, Alireza, Nonnested Procedures in Econometric Tests of Asset Pricing Theories (2000). The Journal of Financial Research • Vol. XXIII, No. 1 • Pages 103-128 • Spring 2000; Fox School of Business Research Paper. Available at SSRN: https://ssrn.com/abstract=2451229

Elyas Elyasiani (Contact Author)

Temple University - Department of Finance ( email )

Fox School of Business and Management
Philadelphia, PA 19122
United States
215-204-5881 (Phone)
215-204-5698 (Fax)

Alireza Nasseh

Saint Louis University - Department of Finance ( email )

3674 Lindell Blvd
Saint Louis, MO 63108-3397
United States
(314) 977-3835 (Phone)

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