Recent work on the price behavior of French common stocks concluded that the evidence is consistent with equity pricing according to the Capital Asset Pricing Model (CAPM). In this paper we re-examine the evidence on the risk-return characteristics of French equity and show that the estimated parameters of the risk-return relationship exhibit strong seasonality. The risk- return relationship is not linear and portfolio size affect equity pricing during January. These results cast some doubt on the validity of the CAPM as a descriptor of French equity returns.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)