Chou, Pin-Huang - In: Journal of Financial Research 23 (2000) 4, pp. 469-93
In this paper I develop an analytical Wald test of the zero-beta capital asset pricing model (CAPM) in a simple iid (independent and identically distributed) setting and extend the Wald test to the generalized method of moments (GMM) framework that allows for a general form of serial correlation...