Optimum Distribution‐Free Tests and Further Evidence of Heteroscedasticity in the Market Model
介绍几种强大的无分布异方差检验，用于检验市场模型中的常数方差假设，发现多数股票不满足同方差假设，并讨论了这对市场模型参数有效估计的影响。
ABSTRACT In this paper several powerful distribution‐free tests for heteroscedasticity are introduced and are used to test the hypothesis of constant variance in the market model. These tests are noted for their flexibility in specifying alternative hypotheses. It is found that the assumption of homoscedasticity is untenable for the majority of stocks analyzed. The implications of this finding for the efficient estimation of the parameters of the market model are also discussed.