JFE

Shanken, J. (1985). "Multivariate tests of the zero-beta CAPM." Journal of Financial Economics 14(3): 327-348.
    A ‘cross-sectional regression test’ (CSRT) of the CAPM is developed and its connection to the Hotelling T2 test of multivariate statistical analysis is explored. Algebraic relations between the CSRT, the likehood ratio test and the Langrange multiplier test are derived and a useful small-sample bound on the distribution function of the CSRT is obtained. An application of the CSRT suggests that the CRSP equally-weighted index is inefficient, but that the inefficiency is not explained by a firm size-effect from February to December.



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Multivariate tests of the zero-beta CAPM