Vorkink, Keith; Hodgson, Douglas J.; Linton, Oliver - In: Journal of Applied Econometrics 17 (2002) 6, pp. 617-639
We develop new tests of the capital asset pricing model that take account of and are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric...