Market Models and Heteroscedasticity of Residual Security Returns
研究证券收益残差的异方差性，发现允许非正态性后纽约证券交易所证券的残差是同方差的，而某些投资组合设计可能产生异方差，但Kraus-Litzenberger二次市场模型可减少该异方差，暗示传统市场模型存在设定错误。
Bickel's tests provide attractive robust alternatives to traditional tests of heteroscedasticity. NYSE securities have homoscedastic residuals once nonnormality of security returns is allowed. Some portfolio designs may generate some heteroscedastic residuals, but this heteroscedasticity is reduced by the Kraus-Litzenberger quadratic market model. This result suggests a misspecification in the traditional market model.