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In order to test the Sharpe-Lintner CAPM model, which of the following regression models do...

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Finance

In order to test the Sharpe-Lintner CAPM model, which of the following regression models do you use, if you want to use the Wald test approach? R denotes the excess return whereas r denotes for return.

I. =++Rt=+Rmt+ut

II. ()=()E(Ri)=E(Rm)

III. =+Rt=Rmt+ut

IV. ()=+()E(ri)=rf+E(rm)

Choose from (a), (b), (c), (d).

Select one:

a)

I

b)

II and IV

c)

II and III

d)

I and III

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