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The capital asset pricing model and the liquidity effect: A theoretical approach

โœ Scribed by Gady Jacoby; David J Fowler; Aron A Gottesman


Book ID
117769290
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
125 KB
Volume
3
Category
Article
ISSN
1386-4181

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๐Ÿ“œ SIMILAR VOLUMES


Testing the capital asset pricing model
โœ Douglas J. Hodgson; Oliver Linton; Keith Vorkink ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 209 KB

## Abstract We develop new tests of the capital asset pricing model that take account of and are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametr