A critique of the asset pricing theory's tests
Опубликовано на портале: 03-10-2003
Journal of Financial Economics.
1977.
Vol. 4.
No. 2.
P. 129-176.
Тематические разделы:
Testing the two-parameter asset pricing theory is difficult (and currently infeasible).
Due to a mathematical equivalence between the individual return/beta'linearity
relation and the market portfolio's mean-variance efficiency, any valid test presupposes
complete knowledge of the true market portfolio's composition. This implies, inter
alia, that every individual asset must be included in a correct test. Errors of inference
inducible by incomplete tests are discussed and some ambiguities in published tests
are explained.
Материалы статьи используются в книге Брейли и Майерса "Принципы корпоративных финансов"
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