Using The Capm Model To Estimate The Profitability Of A Financial Instrument Portfolio
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- Grauer, Robert R. & Janmaat, Johannus A., 2009. "On the power of cross-sectional and multivariate tests of the CAPM," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 775-787, May.
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"CAPM over the long run: 1926-2001,"
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Elsevier, vol. 14(1), pages 1-40, January.
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Keywords
CAPM model; the systematic risk; specific risk; beta volatility coefficient; anticipated profitability;JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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