Journal of Financial Economics Vol. 14 No. 3 1985
Multivariate tests of the zero-beta CAPM
Abstract
A ‘cross-sectional regression test’ (CSRT) of the CAPM is developed and its connection to the Hotelling T2 test of multivariate statistical analysis is explored. Algebraic relations between the CSRT, the likehood ratio test and the Langrange multiplier test are derived and a useful small-sample bound on the distribution function of the CSRT is obtained. An application of the CSRT suggests that the CRSP equally-weighted index is inefficient, but that the inefficiency is not explained by a firm size-effect from February to December.
- DOI
- 10.1016/0304-405x(85)90002-9
- Volume
- 14
- Issue
- 3
- Pages
- 327-348
- Sources
- bibtex:phds-export.bib openalex crossref