Beta lives: some statistical perspectives on the capital asset pricing model.
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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:||Middlesex University Schools and Centres > Business School > Accounting and Finance|
|Deposited On:||26 Mar 2010 11:42|
|Last Modified:||02 Jul 2014 11:27|
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