Ravikumar, B.; Ray, Surajit; Savin, N.E. - Department of Economics, Tippie College of Business - 1999
In this paper, the conventional test of the Sharpe-Lintner version of the Capital Asset Pricing Model (CAPM) are reconsidered. The CAPM is formulated as a Seemingly Unrelated Regression (SUR) system with an adding-up restriction. A statistical framework for conducting the conventional tests is...
