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Autocorrelation, Market Imperfections, and the CAPM

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  • Brown, Stewart L.

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  • Brown, Stewart L., 1979. "Autocorrelation, Market Imperfections, and the CAPM," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(05), pages 1027-1034, December.
  • Handle: RePEc:cup:jfinqa:v:14:y:1979:i:05:p:1027-1034_00
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    Cited by:

    1. Saban Celik, 2012. "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 141-178.
    2. Majumder, Debasish, 2014. "Asset pricing for inefficient markets: Evidence from China and India," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 282-291.
    3. Coqueret, Guillaume, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 180-201.

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