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Three centuries of asset pricing

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  • Dimson, Elroy
  • Mussavian, Massoud

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  • Dimson, Elroy & Mussavian, Massoud, 1999. "Three centuries of asset pricing," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1745-1769, December.
  • Handle: RePEc:eee:jbfina:v:23:y:1999:i:12:p:1745-1769
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    Cited by:

    1. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.
    2. Coleman, Les, 2014. "Why finance theory fails to survive contact with the real world: A fund manager perspective," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 25(3), pages 226-236.
    3. Tan, Pei P. & Galagedera, Don U.A. & Maharaj, Elizabeth A., 2012. "A wavelet based investigation of long memory in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(7), pages 2330-2341.
    4. N. S. Nanayakkara & P. D. Nimal & Y. K. Weerakoon, 2019. "Behavioural Asset Pricing: A Review," International Journal of Economics and Financial Issues, Econjournals, vol. 9(4), pages 101-108.
    5. de Groot, Caspar G. M. & Verschoor, Willem F. C., 2002. "Further evidence on Asian stock return behavior," Emerging Markets Review, Elsevier, vol. 3(2), pages 179-193, June.
    6. Qianwei Ying & Tahir Yousaf & Qurat ul Ain & Yasmeen Akhtar & Muhammad Shahid Rasheed, 2019. "Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(2), pages 1-22, June.
    7. Louis, Rodolphe & Roncalli, Thierry, 2012. "On the market portfolio for multi-asset classes," MPRA Paper 39087, University Library of Munich, Germany.
    8. Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng, 2012. "Estimating the cost of capital with basis assets," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3071-3079.
    9. Lesław Markowski, 2019. "Stock market situation and relations between beta coefficients and returns determined by the CAPM on the example of companies from the ICT sector," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 54, pages 393-408.
    10. Liang Zou, 2006. "The best-beta CAPM," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 131-137, March.
    11. Paul Jansen & Willem Verschoor, 2004. "A note on transition stock return behaviour," Applied Economics Letters, Taylor & Francis Journals, vol. 11(1), pages 11-13.
    12. Jaramillo-López, Oscar Andrés & Forero-Laverde, Germán & Venegas-Martínez, Francisco, 2020. "Evolución del supuesto de normalidad en finanzas: un análisis epistemológico del tipo Popper-Kuhn ¿Por qué la normalidad no cae en desuso? [Evolution of the assumption of normality in finance: a ep," MPRA Paper 101938, University Library of Munich, Germany.
    13. Bhandari, Avishek, 2020. "Long memory and fractality among global equity markets: A multivariate wavelet approach," MPRA Paper 99653, University Library of Munich, Germany.

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