{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,20]],"date-time":"2026-03-20T23:58:35Z","timestamp":1774051115213,"version":"3.50.1"},"reference-count":29,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2002,12,9]],"date-time":"2002-12-09T00:00:00Z","timestamp":1039392000000},"content-version":"vor","delay-in-days":8,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"name":"National Science Foundation."}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2002,12]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>We develop new tests of the capital asset pricing model that take account of and are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric efficient estimation procedures for a seemingly unrelated regression model where the multivariate error density is elliptically symmetric, but otherwise unrestricted. The elliptical symmetry assumption allows us to avoid the curse of dimensionality problem that typically arises in multivariate semiparametric estimation procedures, because the multivariate elliptically symmetric density function can be written as a function of a scalar transformation of the observed multivariate data. The elliptically symmetric family includes a number of thick\u2010tailed distributions and so is potentially relevant in financial applications. Our estimated betas are lower than the OLS estimates, and our parameter estimates are much less consistent with the CAPM restrictions than the corresponding OLS estimates. Copyright \u00a9 2002 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.646","type":"journal-article","created":{"date-parts":[[2002,12,10]],"date-time":"2002-12-10T13:43:59Z","timestamp":1039527839000},"page":"617-639","source":"Crossref","is-referenced-by-count":60,"title":["Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach"],"prefix":"10.1002","volume":"17","author":[{"given":"Douglas J.","family":"Hodgson","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Oliver","family":"Linton","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Keith","family":"Vorkink","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2002,12,9]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90018-0"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1977.tb01979.x"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176344561"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1006\/jeth.1996.2218"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176345863"},{"key":"e_1_2_7_7_1","volume-title":"Studies in the Theory of Capital Markets","author":"Black F","year":"1972"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(83)90129-1"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9957.00086"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04398.x"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/260061"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90028-9"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913625"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1573-4412(05)80007-8"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(97)00101-2"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466698141026"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474930008800467"},{"key":"e_1_2_7_18_1","article-title":"Estimation of a generalized additive model with unknown link function","author":"Horowitz J","year":"2000","journal-title":"Econometrica"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(80)90024-5"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924119"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/2171722"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90044-4"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1086\/294632"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/57.3.519"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02499.x"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1080\/03610928508828965"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1964.tb02865.x"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90002-2"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-94-011-3222-0_13"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05134.x"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.646","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.646","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.646","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/jae.646","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.646","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T03:27:00Z","timestamp":1694316420000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.646"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2002,12]]},"references-count":29,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2002,12]]}},"alternative-id":["10.1002\/jae.646"],"URL":"https:\/\/doi.org\/10.1002\/jae.646","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2002,12]]}}}