Article1983

Market Models and Heteroscedasticity of Residual Security Returns

29 citations0/0 files storedJournal of Business and Economic Statistics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Advanced Statistical Methods and Models

Abstract

Bickel's tests provide attractive robust alternatives to traditional tests of heteroscedasticity. NYSE securities have homoscedastic residuals once nonnormality of security returns is allowed. Some portfolio designs may generate some heteroscedastic residuals, but this heteroscedasticity is reduced by the Kraus-Litzenberger quadratic market model. This result suggests a misspecification in the traditional market model.

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References

1973Risk, Return, and Equilibrium: Empirical Tests 1957Rank Correlation Methods.1969The Adjustment of Stock Prices to New Information 2003The Adjustment of Stock Prices to New Information 1972The capital asset pricing model: Some empirical tests 1951Rank Correlation Methods.1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1973Studies in the Theory of Capital Markets.

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