A Non-linear Estimation of the Capital Asset Pricing Model: The Case of Japanese Automobile Industry Firms
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References listed on IDEAS
- Vendrame, Vasco & Tucker, Jon & Guermat, Cherif, 2016. "Some extensions of the CAPM for individual assets," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 78-85.
- Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Shapiro, A.F. & Terraza, M., 2014. "CAPM with fuzzy returns and hypothesis testing," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 40-57.
More about this item
Keywordsasset pricing; beta; CAPM; fat-tail; Japanese stock market; maximum likelihood method;
- R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
- Z0 - Other Special Topics - - General
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