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IN DEFENSE OF BETA

IN DEFENSE OF BETA Footnotes 1 . The CAPM derives primarily from the work of three finance scholars working largely independently of each other. For the seminal papers, see William F. Sharpe , “ Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk ,” Journal of Finance 19 ( 1964 ), 425 – 442 . ; John Lintner , “ The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets ,” Review of Economics and Statistics 47 ( 1965 ), 13 – 37 . ; and Ian Mossin , “ Equilibrium in a Capital Asset Market ,” Econometrica 34 ( 1966 ), 768 – 783 . 2 . Eugene F. Fama and Kenneth French , “ The Cross‐section of Expected Returns ,” Journal of Finance 47 ( 1992 ), 427 – 465 . 3 . The true magnitude of the book‐to‐market effect may be much lower than that estimated by Fama and French, however, because of certain selection biases in the data. See S.P. Kothari , Jay Shanken , and Richard G. Sloan , “ Another Look at the Cross‐section of Expected Returns ,” Journal of Finance , 50 ( 1995 ). http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Applied Corporate Finance Wiley

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References (13)

Publisher
Wiley
Copyright
Copyright © 1995 Wiley Subscription Services, Inc., A Wiley Company
ISSN
1078-1196
eISSN
1745-6622
DOI
10.1111/j.1745-6622.1995.tb00273.x
Publisher site
See Article on Publisher Site

Abstract

Footnotes 1 . The CAPM derives primarily from the work of three finance scholars working largely independently of each other. For the seminal papers, see William F. Sharpe , “ Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk ,” Journal of Finance 19 ( 1964 ), 425 – 442 . ; John Lintner , “ The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets ,” Review of Economics and Statistics 47 ( 1965 ), 13 – 37 . ; and Ian Mossin , “ Equilibrium in a Capital Asset Market ,” Econometrica 34 ( 1966 ), 768 – 783 . 2 . Eugene F. Fama and Kenneth French , “ The Cross‐section of Expected Returns ,” Journal of Finance 47 ( 1992 ), 427 – 465 . 3 . The true magnitude of the book‐to‐market effect may be much lower than that estimated by Fama and French, however, because of certain selection biases in the data. See S.P. Kothari , Jay Shanken , and Richard G. Sloan , “ Another Look at the Cross‐section of Expected Returns ,” Journal of Finance , 50 ( 1995 ).

Journal

Journal of Applied Corporate FinanceWiley

Published: Mar 1, 1995

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