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Capital asset pricing model : some econometric tests by Jahankhani, Ali. is a nonfiction available to read on EtoBox.

What is Capital asset pricing model : some econometric tests about?

"This study presents some empirical tests of the Capital Asset Pricing Model (CAPM) using more robust statistical tests. Specifically, the restrictive assumptions of stationarity of beta and independence of error terms in the market model were relaxed. The betas of securities were estimated by the systematic-parameter varying regression technique. This technique does not assume that beta is stationary over time. However, it makes the assumption that beta is changing systematically with the accounting measures of risk. Also, the independence of the error terms (residual returns) was relaxed by estimating the betas of a group of firms in one industry simultaneously."

Who reads Capital asset pricing model : some econometric tests?

Author

Jahankhani, Ali.

Publisher

College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, July 25, 1978.

Published

1978

Language

EN

Category

nonfiction