Skip to main content
Article thumbnail
Location of Repository

Beta lives - some statistical perspectives on the capital asset pricing model

By C.J. Adcock and E.A. Clark


This note summarizes some technical issues relevant to the use of the idea of excess return in empirical modelling. We cover the case where the aim is to construct a measure of expected return on an asset and a model of the CAPM type is used. We review some of the problems and show examples where the basic CAPM may be used to develop other results which relate the expected returns on assets both to the expected return on the market and other factors

Publisher: Taylor & Francis
Year: 1999
OAI identifier:

Suggested articles

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.