Analysis of the Main Aspects of Testing the Opaque Version of CAPM

Abstract

The opaque version of the capital asset pricing model (CAPM) is a little more complicated in terms of the restrictions it imposes on the data series. In this context there is a cross-equation constraint for the null hypothesis. As a rule, a resected model should be considered and estimated as nonlinear. The model implies the condition that the estimators obtained and the estimation are usually nonlinear. The estimation procedure is nonlinear, but to simplify it we resort to calculating the particular structures that are conditioned and are obtained from a linear regression. Simple linear regression in this case or multiple is the one that ensures obtaining parameters that are efficient in estimating the respective results. The authors were concerned with the analysis of the main aspects regarding the testing of the opaque version of the CAPM, considering that the cross-regression tests must be taken into account, considering in this regard the approach with two regression functions introduced by Fama and MacBeth (1973) and the case Sharpe-Lintner.