Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach
提出一种新的资本资产定价模型检验方法，在收益分布为椭圆对称的假设下，利用半参数有效估计避免维度诅咒，发现估计的贝塔值低于OLS估计，且参数估计与CAPM约束的一致性更差。
Abstract We develop new tests of the capital asset pricing model that take account of and are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric efficient estimation procedures for a seemingly unrelated regression model where the multivariate error density is elliptically symmetric, but otherwise unrestricted. The elliptical symmetry assumption allows us to avoid the curse of dimensionality problem that typically arises in multivariate semiparametric estimation procedures, because the multivariate elliptically symmetric density function can be written as a function of a scalar transformation of the observed multivariate data. The elliptically symmetric family includes a number of thick‐tailed distributions and so is potentially relevant in financial applications. Our estimated betas are lower than the OLS estimates, and our parameter estimates are much less consistent with the CAPM restrictions than the corresponding OLS estimates. Copyright © 2002 John Wiley & Sons, Ltd.