出版社：Dep. of Statistical Sciences "Paolo Fortunati", Università di Bologna
摘要：Gibbons-Fersonts (1985) test of the Capital Asset Pricing Models, which nests the efficient market hypothesis, is implemented on the daily returns of 18 stocks from the Milan Stock Exchange during the period 1.2.1984-2.27.1987. The test is free of Roll's critique and is based on the assumptions of linear-in-the-information-variables expected returns and constant-ratio conditional betas; the empirical results do not reject the CAPM of Black (1972). Besides the lagged return on the market index is found to be an information variable, while no apparent relationship is detected between monthly and daily dummy variables and the 18 stock returns.
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