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The Failure of the Capital Asset Pricing Model ( CAPM ): An Update and Discussion

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  • Graham Bornholt

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  • Graham Bornholt, 2013. "The Failure of the Capital Asset Pricing Model ( CAPM ): An Update and Discussion," Abacus, Accounting Foundation, University of Sydney, vol. 49, pages 36-43, January.
    • Handle: RePEc:bla:abacus:v:49:y:2013:i::p:36-43
    DOI: 10.1111/abac.2013.49.issue-s1
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    Citations

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    Cited by:

    1. Mike Dempsey, 2014. "The Modigliani and Miller Propositions: The History of a Failed Foundation for Corporate Finance?," Abacus, Accounting Foundation, University of Sydney, vol. 50(3), pages 279-295, September.
    2. Alonso Conde, Ana B. & Rojo Suárez, Javier, 2022. "Trends in the explanatory power of factor-based asset pricing models in determining the cost of capital," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
    3. Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Raza, Naveed, 2014. "Sensitivity Analysis of CAPM Estimates: Data Frequency and Time Frame," MPRA Paper 60110, University Library of Munich, Germany.
    4. Muhammad Kamran Khan & Jian-Zhou Teng & Javed Pervaiz & Sunil Kumar Chaudhary, 2017. "Nexuses between Economic Factors and Stock Returns in China," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(9), pages 182-191, September.
    5. Kieran Wood & Sven Giegerich & Stephen Roberts & Stefan Zohren, 2021. "Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture," Papers 2112.08534, arXiv.org, revised Nov 2022.
    6. Pawel Bilinski & Danielle Lyssimachou, 2014. "Risk Interpretation of the CAPM's Beta: Evidence from a New Research Method," Abacus, Accounting Foundation, University of Sydney, vol. 50(2), pages 203-226, June.
    7. Javier Rojo‐Suárez & Ana Belén Alonso‐Conde & Ricardo Ferrero‐Pozo, 2022. "Liquidity, time‐varying betas and anomalies: Is the high trading activity enhancing the validity of the CAPM in the UK equity market?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 45-60, January.
    8. Mike Dempsey, 2013. "The CAPM : A Case of Elegance is for Tailors?," Abacus, Accounting Foundation, University of Sydney, vol. 49, pages 82-87, January.
    9. Syed Jawad Hussain Shahzad, 2015. "Multiscale Systematic Risk: Empirical Evidence from Pakistan," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), vol. 3(12), pages 605-615, December.
    10. Singh, Kewal & Singh, Anoop & Prakash, Puneet, 2022. "Estimating the cost of equity for the regulated energy and infrastructure sectors in India," Utilities Policy, Elsevier, vol. 74(C).
    11. Mejda Dakhlaoui & Marjène Rabah Gana, 2015. "Estimating the Cost of Equity Capital: An Empirical Analysis in the Tunisian Context," Accounting and Finance Research, Sciedu Press, vol. 4(2), pages 110-110, May.
    12. Joseph Emmanuel Tetteh & Anthony Amoah & Deodat Emilson Adenutsi, 2019. "Drivers of Stock Market Returns in Sub-Saharan Africa: Evidence from Selected Countries," Asian Development Policy Review, Asian Economic and Social Society, vol. 7(3), pages 191-208, September.
    13. Omar Gharaibeh & Graham Bornholt & Michael Dempsey, 2014. "Evidence on Industry Cost of Equity Estimators," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(4), pages 1-15.
    14. Syed Jawad Hussain Shahzad & Saniya Khalid & Saba Ameer, 2016. "CAPM estimates: Can data frequency and time period lend a hand?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-12, June.

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