We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity of the CAPM can be rejected, thus the widely used risk and performance measures, the beta and...

The spectral density estimation has had significant importance in empirical research in the past decades, especially in the field of Heteroskedasticity and Autocorrelation Consistent (HAC) covariance matrix estimation and in the random walk theory. The aim of this paper is to find a universal...