Three Alternative Methods in Testing Capital Asset Pricing Model

Cheng-Few Lee (), Hong-Yi Chen () and John Lee ()
Additional contact information
Cheng-Few Lee: Rutgers University, Department of Finance and Economics, Rutgers Business School
Hong-Yi Chen: National Chengchi University, Department of Finance
John Lee: Center for PBBEF Research

Chapter Chapter 8 in Financial Econometrics, Mathematics and Statistics, 2019, pp 211-241 from Springer

Abstract: Abstract Following the previous chapter, we show how three alternative errors-in-variableErrors-in-variables models can be used to test the capital asset pricing modelCapital Asset Pricing Model (CAPM). These three methods include the grouping methodGrouping method, the instrumental variable methodInstrumental variable method, and the maximum likelihood methodMaximum likelihood method. In addition, we discuss how the errors-in-variableErrors-in-variables model can improve the capital asset pricing modelCapital Asset Pricing Model (CAPM) tests at the individual stock level.

Keywords: Capital asset pricing model; Grouping method; Instrumental variable method; Maximum likelihood method; Normality test (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4939-9429-8_8

Ordering information: This item can be ordered from
http://www.springer.com/9781493994298

DOI: 10.1007/978-1-4939-9429-8_8

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().