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- W1607636060 abstract "Abstract A variety of financial models are cast as nonlinear parameter restrictions on multivariate regression models, and the framework seems well suited for empirical purposes. Aside from eliminating the errors-in-the-variables problem which has plagued a number of past studies, the suggested methodology increases the precision of estimated risk premiums by as much as 76%. In addition, the approach leads naturally to a likelihood ratio test of the parameter restrictions as a test for a financial model. This testing framework has considerable power over past test statistics. With no additional variable beyond β, the substantive content of the CAPM is rejected for the period 1926–1975 with a significance level less than 0.001." @default.
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- W1607636060 date "1982-03-01" @default.
- W1607636060 modified "2023-10-13" @default.
- W1607636060 title "Multivariate tests of financial models" @default.
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- W1607636060 doi "https://doi.org/10.1016/0304-405x(82)90028-9" @default.
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