A net beta test of asset pricing models

While many recent empirical studies of the CAPM have used conditional beta tests, this technique has recently been shown to have several weaknesses. Here we introduce a new, more robust, net beta test which shares a number of characteristics with conditional beta tests. The method is extended to the...

Full description

Saved in:
Bibliographic Details
Main Authors: Cherif Guermat, Mark Freeman
Format: Default Article
Published: 2010
Online Access:https://hdl.handle.net/2134/15029
Tags: Add Tag
No Tags, Be the first to tag this record!