The Sensitivity of Tests of Asset Pricing Models to the IID‐Normal Assumption: Contemporaneous Evidence from the US and UK Stock Markets
比较了标准检验与不依赖独立同分布正态假设的检验在资产定价模型中的结果，发现假设偏离会影响概率值但不改变检验结论，且对美国数据的影响比英国更大。
Standard tests of asset pricing models are based on the iid ‐normal assumption. We compare standard test results with those obtained from procedures that do not require iid ‐normality. Analysing unconditional and conditional asset pricing models, we find that the use of tests that consider departures from the iid ‐normal assumption affect probability values, sometimes by a considerable amount but that test outcomes are not affected. The results also suggest that issues surrounding the testing of joint hypothesis influence probability values and that the use of appropriate tests may be more important when analysing US data than when analysing UK data.