This paper re-examines the tests of the Sharpe-Lintner Capital Asset Pricing Model (CAPM). The null that the CAPM intercepts are zero is tested for ten size-based stock portfolios and for twenty five book-to-market sorted portfolios using five-year, ten-year and longer sub-periods during...

This chapter presents a survey of multiple hypothesis testing procedures with an emphasis on those procedures that can be applied in the context of the classical linear regression model. Multiple hypothesis testing is the testing of two or more separate hypotheses simultaneously. The t and F...