COULD DYNAMIC BETA MEASURES ENHANCE PERFORMANCE OF CAPITAL-ASSET-PRICING MODEL ON FITTING STOCK RETURNS? A REALITY TEST
Author:
Publisher
Wiley
Subject
Economics and Econometrics
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9957.2009.02161.x/fullpdf
Reference37 articles.
1. ‘Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach’;Ammann;European Financial Management,2008
2. ‘A Variance Equality Test of the ICAPM on Philippine Stocks: Post-Asian Financial Crisis Period’;Aquino;Applied Economics,2006
3. ‘A Multivariate Generalized ARCH Approach to Modeling Risk Premia in the Forward Foreign Exchange Rate’;Baillie;Journal of International Money and Finance,1990
4. ‘The Relationship between Return and Market Value of Common Stocks’;Banz;Journal of Financial Economics,1981
5. ‘The Investment Performance of Common Stocks in Relation to their Price-Earnings Ratios: a Test of the Efficient Market Hypothesis’;Basu;Journal of Finance,1977
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