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Are accruals mispriced? Evidence from tests of an Intertemporal Capital Asset Pricing Model

✍ Scribed by Mozaffar Khan


Book ID
116591590
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
320 KB
Volume
45
Category
Article
ISSN
0165-4101

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## Abstract We analyse the ability of the conditional asset pricing models to explain the cross‐sectional variation in UK stock returns. We examine conditional versions of the Sharpe‐Linter CAPM and the Fama‐French three‐factor model. The results indicate that the conditional single‐factor model is