Functional form of stock return model: Some international evidence
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Bibliographic InfoArticle provided by Elsevier in its journal The Quarterly Review of Economics and Finance.
Volume (Year): 37 (1997)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/inca/620167
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- Lee, Cheng F, 1976. "Investment Horizon and the Functional Form of the Capital Asset Pricing Model," The Review of Economics and Statistics, MIT Press, vol. 58(3), pages 356-63, August.
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- Jensen, Michael C, 1969. "Risk, The Pricing of Capital Assets, and the Evaluation of Investment Portfolios," The Journal of Business, University of Chicago Press, vol. 42(2), pages 167-247, April.
- Roll, Richard, 1992. " Industrial Structure and the Comparative Behavior of International Stock Market Indices," Journal of Finance, American Finance Association, vol. 47(1), pages 3-41, March.
- Lessard, Donald R, 1974. "World, National, and Industry Factors in Equity Returns," Journal of Finance, American Finance Association, vol. 29(2), pages 379-91, May.
- Haim Levy, 1972. "Portfolio Performance and the Investment Horizon," Management Science, INFORMS, vol. 18(12), pages B645-B653, August.
- Levhari, David & Levy, Haim, 1977. "The Capital Asset Pricing Model and the Investment Horizon," The Review of Economics and Statistics, MIT Press, vol. 59(1), pages 92-104, February.
- Haim Levy & Paul A. Samuelson, 1992. "The Capital Asset Pricing Model with Diverse Holding Periods," Management Science, INFORMS, vol. 38(11), pages 1529-1542, November.
- McDonald, Bill, 1983. "Functional Forms and the Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(03), pages 319-329, September.
- 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.
- Fabozzi, Frank J. & Francis, Jack C. & Lee, Cheng F., 1980. "Generalized Functional Form for Mutual Fund Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(05), pages 1107-1120, December.
- Jorion, Philippe & Schwartz, Eduardo, 1986. " Integration vs. Segmentation in the Canadian Stock Market," Journal of Finance, American Finance Association, vol. 41(3), pages 603-14, July.
- Cartwright, Phillip A & Lee, Cheng F, 1987. "Time Aggregation and the Estimation of the Market Model: Empirical Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(1), pages 131-43, January.
- Solnik, Bruno H., 1974. "An International Market Model of Security Price Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(04), pages 537-554, September.
- Solnik, B H, 1974. "The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure," Journal of Finance, American Finance Association, vol. 29(2), pages 365-78, May.
- Cheng, Pao L. & Deets, M. King, 1973. "Systematic Risk and the Horizon Problem," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(02), pages 299-316, March.
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