An Analysis of Nonlinearities, Heteroscedasticity, and Functional Form in the Market Model
使用广义单指数市场模型，研究以往估计市场模型时统计异常的原因，发现之前的“非线性”主要源于非正态性和异方差。
Abstract Using a generalized specification of the single-index market model, this study examines the sources of statistical anomalies previously found in estimating the market model. Two generalized models are developed for juxtaposition with the traditional linear specification. The most general model is a Box–Cox model with different λ's and heteroscedastic errors. The empirical results indicate that previous findings of significant "nonlinearities" are primarily attributable to nonnormalities and unequal variance. KEY WORDS: Asset pricingBox-Cox modelNonnormalities