Asset‐pricing Tests under Alternative Distributions
发现，在正态性假设下，1926-1986年间六个十年子期中三个子期的CRSP价值加权股票指数均值-方差效率被拒绝；但数据强烈拒绝正态性，在椭圆类替代分布假设下效率不再被拒绝。
ABSTRACT Given the normality assumption, we reject the mean‐variance efficiency of the Center for Research in Security Prices value‐weighted stock index for three of the six consecutive ten‐year subperiods from 1926 to 1986. However, the normality assumption is strongly rejected by the data. Under plausible alternative distributional assumptions of the elliptical class, the efficiency can no longer be rejected. When the normality assumption is violated but the ellipticity assumption is maintained, many tests tend to be biased toward overrejection and both the accuracy of estimated beta and are usually overstated.