Return Distributions and Improved Tests of Asset Pricing Models
提出一种基于椭圆分布假设的新检验方法，用于检验资产定价模型，相比传统OLS和GMM方法，新检验在规模与功效上更优，且不拒绝市值排序样本中的CAPM。
We compare and contrast some existing ordinary least squares (OLS)- and generalized method of moments (GMM)-based tests of asset pricing models with a new more general test. This new test is valid under the assumption that returns are elliptically distributed, a necessary and sufficient assumption of the linear capital asset pricing model (CAPM). This new test fails to reject the CAPM on a dataset of stocks sorted by market valuations, whereas similar tests constructed from OLS and GMM estimation methods reject the linear CAPM. We also find that outliers reduce the OLS-estimated mispricing of the linear CAPM on monthly returns sorted by previous performance, that is, momentum. Monte Carlo evidence supports superior size and power properties of the new test relative to OLS- and GMM-based tests. Copyright 2003, Oxford University Press.