Journal of Financial Economics 18(2)

MacKinlay, A. C. (1987). "On multivariate tests of the CAPM." Journal of Financial Economics 18(2): 341-371.
    This paper evaluates the power of multivariate tests of the Capital Asset Pricing Model. The results indicate that when employing an unspecified alternative hypothesis, the ability of the tests to distinguish between the CAPM and other pricing models is poor. An upper bound is derived for the distance the alternative distribution of the test statistic can be from the null distribution when the deviations from the CAPM are due to missing factors. This upper bound explains the low power of the tests.



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On multivariate tests of the CAPM