Nonnormalities and Tests of Asset Pricing Theories
检验了Gibbons、Ross和Shanken(1986)多元检验对残差协方差矩阵非正态性的稳健性，发现严重非正态性会扭曲检验的规模和功效，但典型非正态水平下检验仍较稳健。
ABSTRACT The robustness of the multivariate test of Gibbons, Ross, and Shanken (1986) to nonnormalities in the residual covariance matrix is examined. After considering the relative performance of various tests of normality, simulation techniques are used to determine the effects of nonnormalities on the multivariate test. It is found that, where the sample nonnormalities are severe, the size and/or power of the test can be seriously misstated. However, it is also shown that these extreme sample values may overestimate the population parameters. Hence, we conclude that the multivariate test is reasonably robust with respect to typical levels of nonnormality.