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M. Blume, I. Friend (1973)
A NEW LOOK AT THE CAPITAL ASSET PRICING MODELJournal of Finance, 28
E. Fama, K. French (1992)
The Cross‐Section of Expected Stock ReturnsJournal of Finance, 47
Kalok Chan, N. Chen, David Hsieh (1985)
An exploratory investigation of the firm size effectJournal of Financial Economics, 14
S. Kothari, Jay Shanken, Richard Sloan (1995)
Another Look at the Cross-section of Expected Stock ReturnsJournal of Finance, 50
Y. Amihud, H. Mendelson (1986)
Asset pricing and the bid-ask spreadJournal of Financial Economics, 17
J. Mossin (1966)
EQUILIBRIUM IN A CAPITAL ASSET MARKETEconometrica, 34
Jay Shanken (1985)
Multivariate tests of the zero-beta CAPMJournal of Financial Economics, 14
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Data-Snooping Biases in Tests of Financial Asset Pricing ModelsCapital Markets: Market Efficiency eJournal
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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 of Applied Corporate Finance – Wiley
Published: Mar 1, 1995
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