TY - JOUR
T1 - A Likelihood Ratio Test Of The Zero‐Beta Capm In Australian Equity Returns
AU - Faff, Robert W.
N1 - Copyright:
Copyright 2016 Elsevier B.V., All rights reserved.
PY - 1991/11
Y1 - 1991/11
N2 - This paper tests the zero‐beta CAPM with Australian equity returns, using the multivariate approach developed by Gibbons (1982). For the period 1958 to 1987, based on its asymptotic distribution, the likelihood ratio test (LRT) statistic indicates a strong rejection of the model when an equally weighted market index is used. However, small sample adjustments to the test suggested by Jobson and Korkie (1982) and by Shanken (1985) place the validity of this conclusion in some doubt. When a value weighted market index is used for the period 1974 to 1987, the tests reveal at least moderate support for the zero‐beta CAPM.
AB - This paper tests the zero‐beta CAPM with Australian equity returns, using the multivariate approach developed by Gibbons (1982). For the period 1958 to 1987, based on its asymptotic distribution, the likelihood ratio test (LRT) statistic indicates a strong rejection of the model when an equally weighted market index is used. However, small sample adjustments to the test suggested by Jobson and Korkie (1982) and by Shanken (1985) place the validity of this conclusion in some doubt. When a value weighted market index is used for the period 1974 to 1987, the tests reveal at least moderate support for the zero‐beta CAPM.
UR - http://www.scopus.com/inward/record.url?scp=0010927090&partnerID=8YFLogxK
U2 - 10.1111/j.1467-629X.1991.tb00166.x
DO - 10.1111/j.1467-629X.1991.tb00166.x
M3 - Article
AN - SCOPUS:0010927090
SN - 0810-5391
VL - 31
SP - 88
EP - 95
JO - Accounting & Finance
JF - Accounting & Finance
IS - 2
ER -