Beta lives: some statistical perspectives on the capital asset pricing model.
Full text is not in this repository.
This item is available in the Library Catalogue
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.
|Research Areas:||A. > Business School > Accounting and Finance|
|Deposited On:||26 Mar 2010 11:42|
|Last Modified:||10 Mar 2015 12:11|
Repository staff only: item control page
Full text downloads (NB count will be zero if no full text documents are attached to the record)
Downloads per month over the past year