Read full paper at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=50722#.VEmtm1fHRK0 Author(s) Liuling Li 1 , Quan Gan 2 , Ziyue Zhuo 3 , Bruce Mizrach 4 Affiliation(s) 1 Institute of Statistics and Econometrics, Economics School, Nankai University, Tianjin, China . 2 Statistics Department, Columbia University, New York, USA . 3 Agricultural Bank of China Limited, Beijing, China . 4 Economics Department, Rutgers University, New Brunswick, USA . ABSTRACT In this paper, a new model is proposed to empirically test the Capital Asset Pricing Theory. This model is based on the EGARCH-type volatilities in Nelson (1991) and the non-Normal errors of SSAEPD in Zhu and Zinde-Walsh (2009). Is the CAPM theory ...
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