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Estimation of expected return: CAPM vs. Fama and French

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  • Bartholdy, Jan
  • Peare, Paula

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 14 (2005)
Issue (Month): 4 ()
Pages: 407-427

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Handle: RePEc:eee:finana:v:14:y:2005:i:4:p:407-427

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Web page: http://www.elsevier.com/locate/inca/620166

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References

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  1. Hawawini, Gabriel, 1983. "Why beta shifts as the return interval changes," MPRA Paper 44893, University Library of Munich, Germany.
  2. Bartholdy, Jan & Peare, Paula, 2003. "Unbiased estimation of expected return using CAPM," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 69-81.
  3. Klemkosky, Robert C & Martin, John D, 1975. "The Adjustment of Beta Forecasts," Journal of Finance, American Finance Association, vol. 30(4), pages 1123-28, September.
  4. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
  5. Fama, Eugene F. & MacBeth, James D., 1974. "Tests of the multiperiod two-parameter model," Journal of Financial Economics, Elsevier, vol. 1(1), pages 43-66, May.
  6. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-95, June.
  7. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
  8. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
  9. Graham, John R. & Harvey, Campbell R., 2001. "The theory and practice of corporate finance: evidence from the field," Journal of Financial Economics, Elsevier, vol. 60(2-3), pages 187-243, May.
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Cited by:
  1. Amanda L. Coxbill & Lee W. Sanning & Sherrill Shaffer, 2009. "Market Reaction To The Announcement Of A Male-To-Female Ceo Turnover," CAMA Working Papers 2009-13, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  2. Smimou, K. & Bector, C.R. & Jacoby, G., 2007. "A subjective assessment of approximate probabilities with a portfolio application," Research in International Business and Finance, Elsevier, vol. 21(2), pages 134-160, June.
  3. Johannes Paha, 2012. "Using accounting data in cartel damage calculations: blessing or menace?," European Journal of Law and Economics, Springer, vol. 34(2), pages 241-263, October.
  4. Florian Mueller, 2014. "Portfolio Performance Implications of Environmental, Social and Governance based Asset Selection," Working Papers 2014-02, Faculty of Economic Sciences, University of Warsaw.
  5. Alves, Paulo, 2013. "The Fama French Model or the capital asset pricing model: international evidence," MPRA Paper 51434, University Library of Munich, Germany, revised 2013.
  6. Guermat, Cherif & Freeman, Mark C., 2010. "A net beta test of asset pricing models," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 1-9, January.
  7. Pasaribu, Rowland Bismark Fernando, 2010. "Pemilihan Model Asset Pricing
    [Asset pricing model selection: Indonesian Stock Exchange]
    ," MPRA Paper 36978, University Library of Munich, Germany.
  8. Md Isa, Abu Hassan & Puah, Chin-Hong & Yong, Ying-Kiu, 2008. "Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM," MPRA Paper 12355, University Library of Munich, Germany.

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