Nonnormalities and Tests of Asset Pricing Theories

The robustness of the multivariate test of Gibbons, Ross, and Shanken (1986) to nonnormalities in the residual covariance matrix is examined. After considering the relative performance of various tests of normality, simulation techniques are used to determine the effects of nonnormalities on the multivariate test. It is found that, where the sample nonnormalities are severe, the size and/or power of the test can be seriously misstated. However, it is also shown that these extreme sample values may overestimate the population parameters. Hence, we conclude that the multivariate test is reasonably robust with respect to typical levels of nonnormality.     

亚力山大：中国健美第一品牌

在一个越来越商业化的社会里，知名度与财富与成功越来越能画等号。     

Savings, Personal Wealth and Risk

In this Briefing Paper we examine the underlying determinants of personal savings behaviour to substantiate our view that the recent fall in savings rates does not imply that it must in future bounce back to some more normal level. On the contrary there are good reasons for believing that savings are more likely to go on falling than to rise.
We argue that consumer behaviour should be related explicitly to personal wealth as well as to disposable income. Personal wealth has risen substantially since 1982: the fall in inflation and long-term interest rates has pushed up gilts' prices; the recovery of profits has sparked off a stock market boom; and the value of the housing stock, which is by far the most important asset held by the personal sector, has started to rise again in real terms. This rise in asset values means that, despite a rise in consumption financed by borrowing, the personal sector balance sheet still in a healthy state, particularly when account is taken of the personal savings now held indirectly via pension funds. These have risen rapidly recently, reducing the need for other long-term savings.
The rise in total wealth has increased savers' tolerance of a fall in net liquid assets (bank and building society deposits etc less borrowing). The willingness to hold a smaller (precautionary) stock of net liquid assets may also reflect a perceived reduction in risk. Financial markets have been much more stable over the period since 1975 than over the preceding eight years, and may now be signalling that the period of adjustment to the shocks and disturbances of the 1970s is drawing to an end. The fall in savings is a worldwide phenomenon. As in the UK it is linked to the fall in inflation and may also be connected with the recovery of the world's major stock markets.