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...
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Main Authors: | Cherif Guermat, Mark Freeman |
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Format: | Default Article |
Published: |
2010
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Subjects: | |
Online Access: | https://hdl.handle.net/2134/15029 |
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