Linear beta pricing with inefficient benchmarks in a given factor structure
Author:
Affiliation:
1. Department of Financial Management and Banking, University of Piraeus, Piraeus, Greece
2. Aston Business School, Aston University, Birmingham, UK
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2019.1639207
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1. A NEW LOOK AT THE CAPITAL ASSET PRICING MODEL
2. Funds, Factors, and Diversification in Arbitrage Pricing Models
3. Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
4. Fundamentals and Stock Returns in Japan
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