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Tests of the multiperiod two-parameter model

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  • Fama, Eugene F.
  • MacBeth, James D.
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-45GNXHJ-B/2/cc65921e49d08d778ce850817cc66b11
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 1 (1974)
    Issue (Month): 1 (May)
    Pages: 43-66

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    Handle: RePEc:eee:jfinec:v:1:y:1974:i:1:p:43-66

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    Web page: http://www.elsevier.com/locate/inca/505576

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    Cited by:
    1. Robert C. Merton, 1980. "On Estimating the Expected Return on the Market: An Exploratory Investigation," NBER Working Papers 0444, National Bureau of Economic Research, Inc.
    2. Bartholdy, Jan & Peare, Paula, 2002. "Unbiased Estimation of Expected Return Using CAPM," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies 02-11, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    3. Ewa Majerowska, . "Validity of the optimal portfolio allocation model with price constraints on the example of the Warsaw Stock Exchange," Discussion Papers in European Economics, Department of Economics, University of Leicester 99/5, Department of Economics, University of Leicester.
    4. Bartholdy, Jan & Peare, Paula, 2005. "Estimation of expected return: CAPM vs. Fama and French," International Review of Financial Analysis, Elsevier, vol. 14(4), pages 407-427.
    5. Jayendu Patel & Richard J. Zeckhauser, 1987. "Treasury Bill Futures as Hedges Against Inflation Risk," NBER Working Papers 2322, National Bureau of Economic Research, Inc.
    6. Tomek Katzur & Laura Spierdijk, 2013. "Stock returns and inflation risk: economic versus statistical evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 23(13), pages 1123-1136, July.
    7. Elyas Elyasiani & Iqbal Mansur, 2005. "The Association Between Market and Exchange Rate Risks and Accounting Variables: A GARCH Model of the Japanese Banking Institutions," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 183-206, September.

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