Pesaran, M. H.; Yamagata, T. - Faculty of Economics, University of Cambridge - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to …>T</em>, of the return series. Two new tests of CAPM are proposed that exploit recent advances on the analysis of large panel data … September 1989-September 2011. Statistically significant evidence against Sharpe-Lintner CAPM is found mainly during the recent …