@article{oai:ncu.repo.nii.ac.jp:00000662,
 author = {Ando, Masakazu and Hodoshima, Jiro},
 issue = {1},
 journal = {オイコノミカ},
 month = {Sep},
 note = {We consider the effect of nonnormality on the least squares inference of the market model or single factor model when the market return or index is unconditionally stochastic. We evaluate the asymptotic variance of the least squares estimator of alpha and beta when the joint distribution of the market return and market model error term is nonnormal. Using univariate and multivariate skewness and kurtosis measures, we show the asymptotic variance for beta depends only on kurtosis measures while the asymptotic variance for alpha depends on kurtosis as well as skewness measures. Numerical examples are provided to evaluate the effect of nonnormality.},
 pages = {1--17},
 title = {The Effect of Nonnormality on the Market Model : Skewness and Kurtosis},
 volume = {43},
 year = {2006}
}