Beta lives: some statistical perspectives on the capital asset pricing model.

Clark, Ephraim A. and Adcock, C. J. (1999) Beta lives: some statistical perspectives on the capital asset pricing model. European Journal of Finance, 5 (3). pp. 213-224. ISSN 1351-847X

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Abstract

This note summarizes some technical issues relevant to the use of the idea of excess return in empirical modelling. We cover the case where the aim is to construct a measure of expected return on an asset cind a model of the CAPM type is used. We review some of the problems cuid show examples where the basic CAPM may be used to develop other results which relate the expected returns on assets both to the expected return on the market and other factors.

Item Type:Article
Research Areas:Business School > Accounting and Finance
ID Code:4643
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Deposited On:26 Mar 2010 11:42
Last Modified:02 Jul 2014 11:27

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