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Tests of asset-pricing models: how important is the iid-normal assumption?

  • Published:2001-09 Issue:4 Volume:8 Page:427-449
  • ISSN:0927-5398
  • Container-title:Journal of Empirical Finance
  • language:en
  • Short-container-title:Journal of Empirical Finance

Author:

Groenewold Nicolaas,Fraser Patricia

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference33 articles.

1. Non-normalities and tests of asset pricing theories;Affleck-Graves;Journal of Finance,1989

2. Ex ante risk premia on macroeconomic factors in the pricing of stocks: an analysis using arbitrage pricing theory;Ariff,1990

3. Economic forces in the London stock market;Beenstock;Oxford Bulletin of Economics and Statistics,1988

4. Recent developments in bootstrapping time series;Berkowitz,1996

5. Stock returns and the term structure;Campbell;Journal of Financial Economics,1987

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